Trend-Following Backtester · Guide · backtest 한국어
equity · KR
크래프톤 backtest
10 trend-following strategies were compared on the full daily history of 크래프톤. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.0%, MDD -5.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -12.9%, drawdown -74.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -18.5%, Sharpe 0.55, 35% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.5%p higher than buy and hold, while drawdown improves by 55.6%p (CAGR 2.0%, MDD -5.3%, exposure 2%).
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=5, slow=244 |
10.6% | -18.5% | 0.55 | 0.57 | 1.7x | 4 | 35% |
| Donchian 채널 돌파 entryN=144, exitN=68 |
9.8% | -18.5% | 0.52 | 0.53 | 1.6x | 2 | 33% |
| EMA 크로스오버 fast=11, slow=209 |
9.6% | -23.6% | 0.51 | 0.41 | 1.6x | 4 | 34% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=26, mult=3.3 |
2.0% | -5.3% | 0.40 | 0.37 | 1.1x | 2 | 2% |
| 볼린저 밴드 돌파 n=56, k=3.4 |
1.0% | -24.2% | 0.14 | 0.04 | 1.1x | 4 | 10% |
| ROC 모멘텀 n=131, threshold=0.04 |
-1.8% | -35.4% | 0.04 | -0.05 | 0.9x | 42 | 34% |
| Supertrend period=24, mult=5 |
-3.1% | -45.3% | 0.02 | -0.07 | 0.9x | 12 | 39% |
| ADX / DI 방향성 period=27, threshold=24 |
-1.7% | -18.5% | -0.17 | -0.09 | 0.9x | 2 | 2% |
| MACD fast=13, slow=54, signal=8 |
-12.3% | -62.8% | -0.29 | -0.20 | 0.5x | 68 | 48% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-13.3% | -55.3% | -0.33 | -0.24 | 0.5x | 42 | 49% |
| Buy and hold | -12.9% | -74.2% | -0.10 | -0.17 | 0.5x | 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 5-day average price crosses above the 244-day average
- Sell — Sell (to cash) when the 5-day average falls below the 244-day average