Trend-Following Backtester · Guide · backtest 한국어
equity · KR
신세계 backtest
10 trend-following strategies were compared on the full daily history of 신세계. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -37.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.1%, drawdown -77.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -66.6%, Sharpe 0.48, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 11.2%p (CAGR 7.8%, MDD -37.4%, exposure 33%).
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=35, slow=240 |
10.3% | -66.6% | 0.48 | 0.15 | 13.4x | 29 | 50% |
| EMA 크로스오버 fast=44, slow=154 |
8.7% | -65.1% | 0.43 | 0.13 | 9.1x | 39 | 51% |
| Donchian 채널 돌파 entryN=87, exitN=33 |
7.8% | -37.4% | 0.42 | 0.21 | 7.3x | 48 | 33% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=13, mult=2.5 |
6.5% | -57.8% | 0.38 | 0.11 | 5.3x | 92 | 32% |
| 볼린저 밴드 돌파 n=53, k=1.7 |
4.1% | -68.1% | 0.28 | 0.06 | 2.9x | 126 | 36% |
| ADX / DI 방향성 period=37, threshold=19 |
3.2% | -56.4% | 0.26 | 0.06 | 2.3x | 42 | 14% |
| ROC 모멘텀 n=148, threshold=-0.01 |
3.2% | -91.6% | 0.26 | 0.04 | 2.3x | 241 | 55% |
| Supertrend period=8, mult=3.4 |
0.8% | -89.8% | 0.18 | 0.01 | 1.2x | 144 | 58% |
| MACD fast=20, slow=57, signal=17 |
-3.0% | -94.8% | 0.03 | -0.03 | 0.4x | 300 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.0% | -94.1% | 0.03 | -0.03 | 0.4x | 228 | 50% |
| Buy and hold | 9.1% | -77.8% | 0.42 | 0.12 | 10.1x | 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 35-day average price crosses above the 240-day average
- Sell — Sell (to cash) when the 35-day average falls below the 240-day average