Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK이노베이션 backtest
10 trend-following strategies were compared on the full daily history of SK이노베이션. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.6%, MDD -11.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.3%, drawdown -77.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -59.9%, Sharpe 0.23, 47% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 0.6%, MDD -11.3%, exposure 0%).
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=68, slow=164 |
2.6% | -59.9% | 0.23 | 0.04 | 1.6x | 32 | 47% |
| Keltner 채널 돌파 emaPeriod=5, atrPeriod=22, mult=3.4 |
0.6% | -11.3% | 0.21 | 0.05 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=35, exitN=70 |
-1.0% | -73.3% | 0.15 | -0.01 | 0.8x | 43 | 66% |
| Supertrend period=11, mult=2.9 |
-0.9% | -66.9% | 0.13 | -0.01 | 0.8x | 135 | 50% |
| ADX / DI 방향성 period=27, threshold=36 |
0.4% | -11.3% | 0.10 | 0.03 | 1.1x | 2 | 1% |
| EMA 크로스오버 fast=65, slow=131 |
-1.2% | -73.8% | 0.10 | -0.02 | 0.8x | 25 | 47% |
| ROC 모멘텀 n=115, threshold=0.12 |
-1.6% | -64.4% | 0.05 | -0.02 | 0.7x | 146 | 26% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-5.8% | -79.1% | -0.04 | -0.07 | 0.3x | 320 | 50% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
-0.9% | -26.5% | -0.05 | -0.03 | 0.8x | 14 | 3% |
| MACD fast=7, slow=46, signal=13 |
-6.6% | -86.3% | -0.07 | -0.08 | 0.3x | 342 | 49% |
| Buy and hold | -1.3% | -77.4% | 0.20 | -0.02 | 0.8x | 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 68-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 68-day average falls below the 164-day average