Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성에스디에스 backtest
10 trend-following strategies were compared on the full daily history of 삼성에스디에스. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.3%, MDD -48.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.2%, drawdown -74.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -48.7%, Sharpe 0.25, 36% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 3.3%, MDD -48.7%, exposure 36%).
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=31, slow=159 |
3.3% | -48.7% | 0.25 | 0.07 | 1.5x | 19 | 36% |
| EMA 크로스오버 fast=48, slow=115 |
0.8% | -48.7% | 0.17 | 0.02 | 1.1x | 19 | 35% |
| ROC 모멘텀 n=165, threshold=0.01 |
0.8% | -48.7% | 0.16 | 0.02 | 1.1x | 61 | 39% |
| ADX / DI 방향성 period=28, threshold=17 |
-0.7% | -55.2% | 0.09 | -0.01 | 0.9x | 49 | 23% |
| Donchian 채널 돌파 entryN=119, exitN=61 |
-0.7% | -51.0% | 0.08 | -0.01 | 0.9x | 9 | 25% |
| Supertrend period=37, mult=4.7 |
-1.7% | -66.1% | 0.07 | -0.03 | 0.8x | 38 | 38% |
| MACD fast=15, slow=57, signal=11 |
-4.2% | -66.3% | -0.00 | -0.06 | 0.6x | 145 | 49% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=23, mult=1.7 |
-2.3% | -41.3% | -0.08 | -0.06 | 0.8x | 54 | 8% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-7.3% | -72.2% | -0.11 | -0.10 | 0.4x | 187 | 46% |
| 볼린저 밴드 돌파 n=40, k=2.2 |
-6.5% | -59.3% | -0.16 | -0.11 | 0.4x | 52 | 21% |
| Buy and hold | -1.2% | -74.4% | 0.17 | -0.02 | 0.9x | 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 31-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 31-day average falls below the 159-day average