Trend-Following Backtester · Guide · backtest 한국어
equity · KR
대덕전자 backtest
10 trend-following strategies were compared on the full daily history of 대덕전자. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 46.4%, MDD -39.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 47.1%, drawdown -66.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 49.9%, MDD -42.1%, Sharpe 1.11, 55% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 53.3%, MDD -61.0%, exposure 62%.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 46.4%, MDD -39.9%, exposure 55%).
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=13, slow=22 |
49.9% | -42.1% | 1.11 | 1.18 | 12.7x | 69 | 55% |
| ROC 모멘텀 n=118, threshold=-0.04 |
53.3% | -61.0% | 1.11 | 0.87 | 14.6x | 43 | 62% |
| Parabolic SAR step=0.005, maxStep=0.18 |
46.4% | -39.9% | 1.09 | 1.16 | 11.0x | 45 | 55% |
| ADX / DI 방향성 period=16, threshold=29 |
35.7% | -33.3% | 1.03 | 1.07 | 6.8x | 26 | 27% |
| Supertrend period=29, mult=5 |
44.0% | -52.4% | 1.01 | 0.84 | 9.9x | 18 | 57% |
| EMA 크로스오버 fast=39, slow=131 |
42.6% | -61.0% | 0.98 | 0.70 | 9.3x | 9 | 54% |
| Donchian 채널 돌파 entryN=71, exitN=27 |
36.4% | -39.2% | 0.96 | 0.93 | 7.0x | 12 | 40% |
| MACD fast=18, slow=32, signal=7 |
35.1% | -51.2% | 0.93 | 0.69 | 6.6x | 97 | 50% |
| 볼린저 밴드 돌파 n=17, k=1.3 |
34.3% | -59.8% | 0.92 | 0.57 | 6.4x | 86 | 43% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=24, mult=1.7 |
30.6% | -41.8% | 0.87 | 0.73 | 5.4x | 40 | 41% |
| Buy and hold | 47.1% | -66.5% | 0.95 | 0.71 | 11.3x | 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 13-day average price crosses above the 22-day average
- Sell — Sell (to cash) when the 13-day average falls below the 22-day average