Trend-Following Backtester · Guide · backtest 한국어
equity · KR
SK아이이테크놀로지 backtest
10 trend-following strategies were compared on the full daily history of SK아이이테크놀로지. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.4%, MDD -6.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.7%, drawdown -94.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.8%, MDD -34.9%, Sharpe 0.28, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 38.5%p higher than buy and hold, while drawdown improves by 59.8%p (CAGR -0.4%, MDD -6.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=117, threshold=0.12 |
3.8% | -34.9% | 0.28 | 0.11 | 1.2x | 22 | 17% |
| Parabolic SAR step=0.04, maxStep=0.06 |
2.3% | -55.0% | 0.24 | 0.04 | 1.1x | 69 | 39% |
| Donchian 채널 돌파 entryN=73, exitN=41 |
1.7% | -26.0% | 0.19 | 0.07 | 1.1x | 4 | 20% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=7, mult=4 |
0.6% | -18.4% | 0.12 | 0.03 | 1.0x | 2 | 7% |
| SMA 크로스오버 fast=52, slow=145 |
-0.0% | -45.1% | 0.11 | -0.00 | 1.0x | 4 | 20% |
| 볼린저 밴드 돌파 n=12, k=2.1 |
-0.2% | -41.0% | 0.11 | -0.00 | 1.0x | 45 | 19% |
| Supertrend period=12, mult=2.1 |
-3.1% | -55.8% | 0.08 | -0.06 | 0.8x | 51 | 35% |
| MACD fast=15, slow=24, signal=7 |
-4.7% | -70.3% | 0.07 | -0.07 | 0.8x | 87 | 48% |
| ADX / DI 방향성 period=30, threshold=33 |
-0.4% | -6.7% | -0.08 | -0.06 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=24, slow=128 |
-4.8% | -38.2% | -0.12 | -0.13 | 0.8x | 6 | 19% |
| Buy and hold | -34.7% | -94.7% | -0.48 | -0.37 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 117-day return is greater than 12%
- Sell — Sell when the 117-day return drops to 12% or below