Trend-Following Backtester · Guide · Assets 한국어

Assets

Samsung Electronics backtest

Korea's largest listed company. It cycles over multi-year semiconductor swings, which is a useful stress test for long-horizon trend strategies.

Data 2000-01-04 ~ 2026-10-23 Daily bars 6,699 (26.8y) Costs 0.5%Venue Korea Exchange

Results by strategy

0 of 10 beat buy and hold (CAGR 14.2%, drawdown -64.8%). Sorted by CAGR.

Strategy · parameters	CAGR	Max drawdown	Sharpe	Calmar	Total return	Trades	Time in market
MACD fast=41, slow=127, signal=38	14.1%	-39.0%	0.65	0.36	34.3x	112	52%
ROC momentum n=17, threshold=-0.15	13.5%	-53.0%	0.54	0.25	29.5x	68	97%
SMA crossover fast=21, slow=82	12.6%	-46.3%	0.58	0.27	24.0x	80	57%
Donchian channel breakout entryN=37, exitN=50	12.5%	-46.4%	0.56	0.27	23.7x	66	62%
Bollinger band breakout n=143, k=1.4	11.2%	-39.6%	0.58	0.28	17.2x	50	43%
EMA crossover fast=46, slow=103	10.2%	-45.3%	0.49	0.23	13.6x	56	61%
Keltner channel breakout emaPeriod=141, atrPeriod=50, mult=3.6	9.6%	-41.0%	0.52	0.23	11.6x	50	42%
Supertrend period=25, mult=4.6	9.3%	-52.1%	0.49	0.18	10.9x	102	52%
Parabolic SAR step=0.005, maxStep=0.02	7.1%	-64.3%	0.40	0.11	6.3x	136	55%
ADX / DI directional period=34, threshold=23	5.9%	-40.2%	0.47	0.15	4.6x	20	9%
Buy & hold	14.2%	-64.8%	0.55	0.22	35.1x	1	100%

MACD (solid) vs buy and hold (dashed). Log scale.

MACD maximum drawdown -39.0% (2017-07-20 peak → 2019-09-17 trough) · recovered after 1,259 days. Buy and hold uses the same scale.

Parameters were optimized over the full history. The same data chose them and scored them, so these run above live results. With two or three parameters the distortion is bounded, but read them as a relative ranking, not a return target. Settings match the backtester's defaults (0.5% costs, Sharpe objective, 120 trials). More in optimization and overfitting.

The rules, strategy by strategy

MACD

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Buy Buy when the MACD line (41/127) crosses above its 38-day signal line
Sell Sell when the MACD line crosses back below the signal line

CAGR: 14.1%
Max drawdown: -39.0%
Sharpe: 0.65
Trades: 112
Time in market: 52%
Win rate: 51%

ROC momentum

Rides the trend when recent return (momentum) over a window is above a threshold.

Buy Buy when the last 17-day return is greater than -15%
Sell Sell when the 17-day return drops to -15% or below

CAGR: 13.5%
Max drawdown: -53.0%
Sharpe: 0.54
Trades: 68
Time in market: 97%
Win rate: 51%

SMA crossover

When the short average rises above the long average, it reads that as an uptrend starting.

Buy Buy when the 21-day average price crosses above the 82-day average
Sell Sell (to cash) when the 21-day average falls below the 82-day average

CAGR: 12.6%
Max drawdown: -46.3%
Sharpe: 0.58
Trades: 80
Time in market: 57%
Win rate: 51%

Donchian channel breakout

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Buy Buy on a breakout above the highest high of the last 37 days
Sell Sell when price breaks below the lowest low of the last 50 days

CAGR: 12.5%
Max drawdown: -46.4%
Sharpe: 0.56
Trades: 66
Time in market: 62%
Win rate: 52%

Bollinger band breakout

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Buy Buy when the close breaks above the upper band of the 143-day average (1.4× volatility)
Sell Sell when the close falls back to the 143-day middle average

CAGR: 11.2%
Max drawdown: -39.6%
Sharpe: 0.58
Trades: 50
Time in market: 43%
Win rate: 52%

EMA crossover

Uses two exponential averages (more weight on recent prices) and trades their crossover.

Buy Buy when the 46-day EMA crosses above the 103-day EMA
Sell Sell when the 46-day EMA falls below the 103-day EMA

CAGR: 10.2%
Max drawdown: -45.3%
Sharpe: 0.49
Trades: 56
Time in market: 61%
Win rate: 51%

Keltner channel breakout

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Buy Buy when the close breaks above the 141-day average + 3.6× volatility (Keltner top)
Sell Sell when the close falls back to the 141-day average

CAGR: 9.6%
Max drawdown: -41.0%
Sharpe: 0.52
Trades: 50
Time in market: 42%
Win rate: 52%

Supertrend

Trades the direction of a volatility-based trend line that trails below/above price.

Buy Buy when price moves above the trend line (flips up) — 25-day volatility, 4.6× band
Sell Sell when price drops below the trend line (flips down)

CAGR: 9.3%
Max drawdown: -52.1%
Sharpe: 0.49
Trades: 102
Time in market: 52%
Win rate: 51%

Parabolic SAR

Trades around the Parabolic SAR dots that accelerate toward price.

Buy Buy when price rises above the SAR dots
Sell Sell when price falls below the SAR dots

CAGR: 7.1%
Max drawdown: -64.3%
Sharpe: 0.40
Trades: 136
Time in market: 55%
Win rate: 50%

ADX / DI directional

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Buy Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 23
Sell Sell when direction flips or the trend weakens (ADX < 23)

CAGR: 5.9%
Max drawdown: -40.2%
Sharpe: 0.47
Trades: 20
Time in market: 9%
Win rate: 51%

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Samsung Electronics backtest

Results by strategy

The rules, strategy by strategy

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