Trend-Following Backtester · Guide · backtest 한국어
equity · KR
케이씨텍 backtest
10 trend-following strategies were compared on the full daily history of 케이씨텍. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.6%, MDD -50.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.8%, drawdown -63.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.3%, MDD -53.1%, Sharpe 0.63, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 13.6%, MDD -50.5%, exposure 63%).
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=36, slow=219 |
20.3% | -53.1% | 0.63 | 0.38 | 5.0x | 7 | 56% |
| ROC 모멘텀 n=159, threshold=-0.03 |
19.2% | -53.1% | 0.61 | 0.36 | 4.6x | 37 | 57% |
| Donchian 채널 돌파 entryN=14, exitN=36 |
18.2% | -54.3% | 0.59 | 0.34 | 4.2x | 32 | 73% |
| Supertrend period=17, mult=4.9 |
13.6% | -50.5% | 0.51 | 0.27 | 3.0x | 20 | 63% |
| EMA 크로스오버 fast=20, slow=174 |
10.0% | -62.6% | 0.44 | 0.16 | 2.3x | 11 | 57% |
| MACD fast=19, slow=37, signal=20 |
3.9% | -43.9% | 0.30 | 0.09 | 1.4x | 88 | 54% |
| 볼린저 밴드 돌파 n=67, k=3 |
2.3% | -52.5% | 0.23 | 0.04 | 1.2x | 16 | 19% |
| ADX / DI 방향성 period=20, threshold=11 |
0.5% | -58.3% | 0.23 | 0.01 | 1.0x | 130 | 55% |
| Parabolic SAR step=0.045, maxStep=0.38 |
1.0% | -63.9% | 0.22 | 0.02 | 1.1x | 290 | 50% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=20, mult=4 |
1.1% | -23.9% | 0.15 | 0.05 | 1.1x | 4 | 3% |
| Buy and hold | 13.8% | -63.6% | 0.51 | 0.22 | 3.1x | 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 36-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 36-day average falls below the 219-day average