Trend-Following Backtester · Guide · backtest 한국어
equity · KR
삼성E&A backtest
10 trend-following strategies were compared on the full daily history of 삼성E&A. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.2%, MDD -31.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.9%, drawdown -97.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.1%, MDD -56.8%, Sharpe 0.75, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.2%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 9.2%, MDD -31.3%, exposure 12%).
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=16, slow=207 |
21.1% | -56.8% | 0.75 | 0.37 | 163.4x | 39 | 54% |
| EMA 크로스오버 fast=43, slow=101 |
18.8% | -44.6% | 0.69 | 0.42 | 97.7x | 45 | 52% |
| Donchian 채널 돌파 entryN=90, exitN=69 |
15.9% | -61.3% | 0.62 | 0.26 | 51.1x | 33 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=16, mult=3.3 |
12.2% | -42.9% | 0.59 | 0.28 | 21.3x | 68 | 28% |
| ROC 모멘텀 n=149, threshold=-0.02 |
14.8% | -74.6% | 0.58 | 0.20 | 39.8x | 179 | 57% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
9.2% | -31.3% | 0.57 | 0.29 | 10.5x | 18 | 12% |
| ADX / DI 방향성 period=38, threshold=14 |
9.7% | -64.0% | 0.47 | 0.15 | 11.9x | 131 | 34% |
| MACD fast=19, slow=73, signal=15 |
10.7% | -79.5% | 0.47 | 0.13 | 14.9x | 239 | 52% |
| Supertrend period=8, mult=2.9 |
10.6% | -61.8% | 0.47 | 0.17 | 14.7x | 177 | 52% |
| Parabolic SAR step=0.02, maxStep=0.38 |
3.4% | -81.5% | 0.27 | 0.04 | 2.5x | 523 | 51% |
| Buy and hold | 6.9% | -97.5% | 0.38 | 0.07 | 5.9x | 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 16-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 16-day average falls below the 207-day average