Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성SDI backtest
10 trend-following strategies were compared on the full daily history of 삼성SDI. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.9%, MDD -25.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.1%, drawdown -80.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.4%, MDD -41.9%, Sharpe 0.57, 20% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 7.9%, MDD -25.5%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=43, threshold=15 |
10.4% | -41.9% | 0.57 | 0.25 | 14.0x | 62 | 20% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=22, mult=2.4 |
7.9% | -25.5% | 0.49 | 0.31 | 7.5x | 104 | 17% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
7.4% | -56.4% | 0.44 | 0.13 | 6.6x | 52 | 21% |
| SMA 크로스오버 fast=51, slow=216 |
8.5% | -70.4% | 0.41 | 0.12 | 8.7x | 39 | 54% |
| MACD fast=17, slow=61, signal=22 |
8.0% | -71.9% | 0.41 | 0.11 | 7.7x | 248 | 50% |
| Donchian 채널 돌파 entryN=16, exitN=74 |
7.8% | -68.7% | 0.39 | 0.11 | 7.4x | 72 | 79% |
| Supertrend period=12, mult=3.1 |
7.0% | -66.5% | 0.37 | 0.10 | 6.0x | 180 | 50% |
| EMA 크로스오버 fast=59, slow=218 |
6.8% | -69.1% | 0.37 | 0.10 | 5.7x | 29 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
4.3% | -68.3% | 0.29 | 0.06 | 3.0x | 226 | 49% |
| ROC 모멘텀 n=76, threshold=0.01 |
4.2% | -78.4% | 0.29 | 0.05 | 3.0x | 298 | 52% |
| Buy and hold | 8.1% | -80.4% | 0.40 | 0.10 | 7.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 43-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)