Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼화콘덴서 backtest
10 trend-following strategies were compared on the full daily history of 삼화콘덴서. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
4 of 10 beat buy and hold (CAGR 14.1%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.7%, MDD -76.5%, Sharpe 0.60, 45% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=29, slow=147 |
18.7% | -76.5% | 0.60 | 0.24 | 97.0x | 45 | 45% |
| EMA 크로스오버 fast=44, slow=80 |
17.3% | -78.4% | 0.57 | 0.22 | 70.4x | 53 | 46% |
| ADX / DI 방향성 period=49, threshold=11 |
17.0% | -78.2% | 0.56 | 0.22 | 65.9x | 101 | 52% |
| Supertrend period=16, mult=1.7 |
15.5% | -80.1% | 0.55 | 0.19 | 46.6x | 361 | 44% |
| Donchian 채널 돌파 entryN=15, exitN=65 |
13.9% | -74.9% | 0.51 | 0.19 | 32.0x | 89 | 73% |
| ROC 모멘텀 n=103, threshold=0.05 |
11.9% | -78.8% | 0.47 | 0.15 | 20.2x | 233 | 42% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=24, mult=2.1 |
10.6% | -72.2% | 0.44 | 0.15 | 14.7x | 118 | 30% |
| MACD fast=17, slow=59, signal=23 |
10.1% | -73.3% | 0.43 | 0.14 | 12.9x | 235 | 50% |
| Parabolic SAR step=0.035, maxStep=0.1 |
10.0% | -80.8% | 0.43 | 0.12 | 12.6x | 579 | 46% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
9.2% | -76.0% | 0.41 | 0.12 | 10.4x | 78 | 25% |
| Buy and hold | 14.1% | -83.2% | 0.52 | 0.17 | 33.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 29-day average price crosses above the 147-day average
- Sell — Sell (to cash) when the 29-day average falls below the 147-day average