Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성전자우 backtest
10 trend-following strategies were compared on the full daily history of 삼성전자우. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.2%, MDD -39.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -56.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -39.8%, Sharpe 0.66, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 14.2%, MDD -39.8%, exposure 62%).
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=57, slow=166 |
14.2% | -39.8% | 0.66 | 0.36 | 15.8x | 27 | 62% |
| Donchian 채널 돌파 entryN=98, exitN=76 |
12.8% | -36.1% | 0.63 | 0.36 | 12.4x | 23 | 55% |
| EMA 크로스오버 fast=12, slow=177 |
11.7% | -44.6% | 0.57 | 0.26 | 10.1x | 49 | 62% |
| ADX / DI 방향성 period=36, threshold=22 |
6.0% | -29.6% | 0.53 | 0.20 | 3.4x | 16 | 8% |
| Supertrend period=22, mult=4.7 |
7.6% | -60.0% | 0.43 | 0.13 | 4.6x | 76 | 56% |
| Parabolic SAR step=0.015, maxStep=0.02 |
5.7% | -60.8% | 0.36 | 0.09 | 3.2x | 124 | 57% |
| ROC 모멘텀 n=89, threshold=-0.03 |
5.7% | -59.3% | 0.35 | 0.10 | 3.2x | 203 | 68% |
| 볼린저 밴드 돌파 n=48, k=1.4 |
4.0% | -47.7% | 0.30 | 0.08 | 2.3x | 130 | 43% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.6 |
2.9% | -56.7% | 0.25 | 0.05 | 1.8x | 72 | 29% |
| MACD fast=30, slow=49, signal=30 |
2.0% | -59.9% | 0.20 | 0.03 | 1.5x | 152 | 53% |
| Buy and hold | 15.7% | -56.6% | 0.62 | 0.28 | 21.0x | 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 57-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 57-day average falls below the 166-day average