Trend-Following Backtester · Guide · backtest 한국어
equity · KR
제일기획 backtest
10 trend-following strategies were compared on the full daily history of 제일기획. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -65.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.6%, MDD -56.5%, Sharpe 0.27, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=59, slow=178 |
3.6% | -56.5% | 0.27 | 0.06 | 2.6x | 36 | 56% |
| EMA 크로스오버 fast=53, slow=204 |
2.7% | -57.0% | 0.23 | 0.05 | 2.0x | 32 | 58% |
| Donchian 채널 돌파 entryN=59, exitN=69 |
2.7% | -54.3% | 0.23 | 0.05 | 2.0x | 48 | 58% |
| ROC 모멘텀 n=170, threshold=-0.15 |
2.2% | -53.7% | 0.22 | 0.04 | 1.8x | 131 | 81% |
| Supertrend period=7, mult=5 |
1.4% | -58.0% | 0.19 | 0.02 | 1.4x | 65 | 61% |
| ADX / DI 방향성 period=37, threshold=30 |
0.8% | -18.2% | 0.17 | 0.04 | 1.2x | 2 | 1% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-2.8% | -80.6% | 0.02 | -0.03 | 0.5x | 208 | 52% |
| 볼린저 밴드 돌파 n=57, k=1.8 |
-2.8% | -71.3% | -0.04 | -0.04 | 0.5x | 124 | 34% |
| MACD fast=20, slow=44, signal=23 |
-5.5% | -80.2% | -0.10 | -0.07 | 0.2x | 287 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=1.5 |
-4.5% | -82.0% | -0.10 | -0.06 | 0.3x | 174 | 38% |
| Buy and hold | 6.5% | -65.9% | 0.36 | 0.10 | 5.3x | 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 59-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 59-day average falls below the 178-day average