Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성전자 backtest
10 trend-following strategies were compared on the full daily history of 삼성전자. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 13.3%, MDD -41.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -64.8%).
Sharpe leader (same as main): MACD — CAGR 13.3%, MDD -41.2%, Sharpe 0.62, 53% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.6%, MDD -52.6%, exposure 76%.
Return/drawdown alternative: MACD — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 23.6%p (CAGR 13.3%, MDD -41.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=38, slow=117, signal=45 |
13.3% | -41.2% | 0.62 | 0.32 | 27.7x | 112 | 53% |
| EMA 크로스오버 fast=57, slow=82 |
12.6% | -44.9% | 0.58 | 0.28 | 23.6x | 55 | 61% |
| Donchian 채널 돌파 entryN=24, exitN=75 |
13.6% | -52.6% | 0.57 | 0.26 | 29.5x | 61 | 76% |
| SMA 크로스오버 fast=28, slow=134 |
11.8% | -42.9% | 0.55 | 0.27 | 19.2x | 65 | 59% |
| Supertrend period=29, mult=4.5 |
9.8% | -51.9% | 0.50 | 0.19 | 12.0x | 104 | 53% |
| 볼린저 밴드 돌파 n=47, k=1.3 |
6.5% | -43.7% | 0.39 | 0.15 | 5.4x | 166 | 43% |
| ROC 모멘텀 n=76, threshold=-0.02 |
6.2% | -64.9% | 0.36 | 0.10 | 5.0x | 309 | 64% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=22, mult=2.9 |
5.1% | -44.1% | 0.35 | 0.12 | 3.8x | 118 | 34% |
| ADX / DI 방향성 period=36, threshold=15 |
3.3% | -65.5% | 0.26 | 0.05 | 2.3x | 108 | 23% |
| Parabolic SAR step=0.005, maxStep=0.24 |
1.3% | -73.2% | 0.18 | 0.02 | 1.4x | 240 | 53% |
| Buy and hold | 15.2% | -64.8% | 0.57 | 0.23 | 42.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (38/117) crosses above its 45-day signal line
- Sell — Sell when the MACD line crosses back below the signal line