S303 — 차트 발굴 trigger 백테스트
Date: 2026-05-23 (Sat)
Topic: L (시스템 재설계)
Predecessor: S302 (벤더 multiplier → 종목별 percentile 임계)
1. 설계 요약
- 모집단: KOSPI 시총 상위 50 + KOSDAQ 시총 상위 30 = 80종목 (2026-05 기준 고정)
- 기간: 2022-01-01 ~ 2026-04-15 (4.3년, 3시장국면 커버)
- 시점 샘플링: 매 5 영업일 (look-ahead 방지: 시점 t까지 데이터만 사용)
- 검증 호라이즌: D+5 / D+10 / D+20 / D+60 close return + max-high + Time-to-X
- 성과 지표: Hit Rate / Mean / Median / MDD / Sharpe / Calmar / Profit Factor
- 총 samples: 16,297
- survivorship bias: 2026-05 시총 상위 고정 (한계 명시)
2. Verdict 분포
전체
| Verdict |
Count |
Ratio |
| MIXED_SELL_LEAN |
5,334 |
32.7% |
| MIXED |
3,913 |
24.0% |
| MIXED_BUY_LEAN |
2,712 |
16.6% |
| AVOID |
2,108 |
12.9% |
| BUY |
953 |
5.8% |
| CAUTION |
519 |
3.2% |
| WATCH |
320 |
2.0% |
| AVOID_STRONG |
274 |
1.7% |
| BUY_STRONG |
91 |
0.6% |
| NEUTRAL |
73 |
0.4% |
Market × Verdict
verdict AVOID AVOID_STRONG BUY BUY_STRONG CAUTION MIXED MIXED_BUY_LEAN MIXED_SELL_LEAN NEUTRAL WATCH
market
KOSDAQ 839 130 273 21 111 1356 868 2347 3 59
KOSPI 1269 144 680 70 408 2557 1844 2987 70 261
3.1 ALL Verdict별 성과
ALL — D+5
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
5334 |
51.12% |
+1.05% |
+0.23% |
8.33% |
0.1259 |
0.0923 |
1.4635 |
+6.13% |
| MIXED |
3913 |
50.93% |
+0.92% |
+0.17% |
7.64% |
0.1202 |
0.0831 |
1.4225 |
+5.98% |
| MIXED_BUY_LEAN |
2712 |
51.51% |
+0.95% |
+0.32% |
8.19% |
0.1164 |
0.083 |
1.4164 |
+6.08% |
| AVOID |
2108 |
51.52% |
+1.11% |
+0.35% |
7.36% |
0.1509 |
0.1066 |
1.573 |
+5.58% |
| BUY |
953 |
49.95% |
+0.74% |
+0.00% |
7.74% |
0.0961 |
0.0718 |
1.3484 |
+5.21% |
| CAUTION |
519 |
45.47% |
+0.55% |
+0.00% |
5.38% |
0.102 |
0.0724 |
1.389 |
-3.60% |
| WATCH |
320 |
50.62% |
+0.86% |
+0.13% |
6.33% |
0.1364 |
0.1062 |
1.5755 |
+4.01% |
| AVOID_STRONG |
274 |
52.92% |
+0.66% |
+0.46% |
6.71% |
0.0981 |
0.0625 |
1.3278 |
+5.23% |
| BUY_STRONG |
91 |
47.25% |
+0.68% |
+0.00% |
8.34% |
0.0814 |
0.0554 |
1.2789 |
+5.86% |
| NEUTRAL |
73 |
56.16% |
+1.02% |
+0.65% |
4.01% |
0.2538 |
0.1521 |
2.0791 |
+3.48% |
ALL — D+10
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
5334 |
52.81% |
+2.21% |
+0.66% |
12.16% |
0.1816 |
0.1942 |
1.7407 |
+9.62% |
| MIXED |
3913 |
51.57% |
+1.85% |
+0.36% |
11.26% |
0.1642 |
0.1673 |
1.6294 |
+9.05% |
| MIXED_BUY_LEAN |
2712 |
52.29% |
+1.95% |
+0.62% |
11.87% |
0.1641 |
0.1699 |
1.6345 |
+9.36% |
| AVOID |
2108 |
52.56% |
+2.10% |
+0.57% |
10.99% |
0.1909 |
0.2014 |
1.7884 |
+8.65% |
| BUY |
953 |
51.73% |
+1.83% |
+0.37% |
10.73% |
0.1702 |
0.1763 |
1.6677 |
+8.12% |
| CAUTION |
519 |
47.59% |
+1.15% |
+0.00% |
9.22% |
0.1245 |
0.1515 |
1.5707 |
-1.08% |
| WATCH |
320 |
51.88% |
+1.37% |
+0.32% |
9.92% |
0.1376 |
0.1681 |
1.6371 |
+6.15% |
| AVOID_STRONG |
274 |
56.93% |
+1.46% |
+1.26% |
8.93% |
0.1635 |
0.1385 |
1.5516 |
+8.00% |
| BUY_STRONG |
91 |
52.75% |
+3.57% |
+0.85% |
14.00% |
0.2553 |
0.2915 |
2.1295 |
+10.64% |
| NEUTRAL |
73 |
61.64% |
+2.09% |
+1.40% |
6.59% |
0.3175 |
0.3126 |
2.6806 |
+5.34% |
ALL — D+20
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
5334 |
55.29% |
+4.54% |
+1.55% |
18.59% |
0.244 |
0.3991 |
2.1917 |
+15.26% |
| MIXED |
3913 |
54.28% |
+4.14% |
+1.27% |
17.09% |
0.2423 |
0.3745 |
2.1339 |
+14.37% |
| MIXED_BUY_LEAN |
2712 |
53.32% |
+4.42% |
+1.15% |
18.39% |
0.2403 |
0.3852 |
2.1405 |
+15.02% |
| AVOID |
2108 |
55.27% |
+3.90% |
+1.42% |
15.72% |
0.2479 |
0.3741 |
2.1175 |
+13.48% |
| BUY |
953 |
54.04% |
+3.56% |
+1.09% |
16.00% |
0.2223 |
0.3435 |
2.0098 |
+12.92% |
| CAUTION |
519 |
49.90% |
+2.47% |
+0.00% |
14.54% |
0.1697 |
0.3254 |
1.9638 |
+2.94% |
| WATCH |
320 |
57.50% |
+2.46% |
+1.30% |
12.25% |
0.2009 |
0.3028 |
1.8429 |
+9.84% |
| AVOID_STRONG |
274 |
58.39% |
+3.24% |
+2.53% |
13.95% |
0.2321 |
0.3071 |
1.9048 |
+12.17% |
| BUY_STRONG |
91 |
54.95% |
+6.29% |
+2.09% |
20.11% |
0.313 |
0.5135 |
2.6012 |
+17.89% |
| NEUTRAL |
73 |
61.64% |
+2.52% |
+2.23% |
8.45% |
0.2979 |
0.3762 |
2.2366 |
+8.08% |
ALL — D+60
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
5134 |
59.27% |
+14.53% |
+5.27% |
43.84% |
0.3314 |
- |
3.8558 |
+34.14% |
| MIXED |
3767 |
60.02% |
+13.31% |
+5.07% |
36.76% |
0.3621 |
- |
3.8418 |
+32.16% |
| MIXED_BUY_LEAN |
2593 |
61.90% |
+13.97% |
+6.18% |
34.50% |
0.4049 |
- |
4.015 |
+32.77% |
| AVOID |
2072 |
57.53% |
+9.79% |
+3.14% |
32.61% |
0.3003 |
- |
2.9171 |
+27.66% |
| BUY |
914 |
61.27% |
+11.19% |
+4.28% |
29.75% |
0.3761 |
- |
3.5943 |
+27.49% |
| CAUTION |
518 |
54.25% |
+5.92% |
+1.39% |
28.27% |
0.2094 |
- |
2.2422 |
+15.06% |
| WATCH |
317 |
63.72% |
+4.85% |
+3.56% |
17.62% |
0.2752 |
- |
2.2046 |
+18.26% |
| AVOID_STRONG |
265 |
56.98% |
+9.76% |
+4.05% |
32.16% |
0.3036 |
- |
2.8473 |
+28.25% |
| BUY_STRONG |
84 |
66.67% |
+18.39% |
+8.17% |
37.40% |
0.4918 |
- |
4.6927 |
+38.42% |
| NEUTRAL |
73 |
73.97% |
+6.89% |
+5.73% |
15.64% |
0.4404 |
- |
3.5258 |
+16.98% |
3.2 KOSPI Verdict별 성과
KOSPI — D+5
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
2987 |
52.49% |
+0.91% |
+0.36% |
6.69% |
0.1364 |
0.0939 |
1.4848 |
+5.15% |
| MIXED |
2557 |
51.39% |
+0.66% |
+0.18% |
6.44% |
0.1032 |
0.0686 |
1.3426 |
+4.91% |
| MIXED_BUY_LEAN |
1844 |
52.17% |
+0.90% |
+0.37% |
6.71% |
0.1335 |
0.0873 |
1.4614 |
+5.28% |
| AVOID |
1269 |
52.40% |
+0.93% |
+0.46% |
6.07% |
0.1524 |
0.1021 |
1.5528 |
+4.56% |
| BUY |
680 |
50.59% |
+0.37% |
+0.12% |
6.17% |
0.0607 |
0.0399 |
1.1937 |
+4.24% |
| CAUTION |
408 |
47.79% |
+0.32% |
-0.13% |
4.77% |
0.067 |
0.0438 |
1.2214 |
+3.14% |
| WATCH |
261 |
52.11% |
+0.81% |
+0.17% |
5.39% |
0.1504 |
0.1065 |
1.6098 |
+3.55% |
| AVOID_STRONG |
144 |
57.64% |
+1.13% |
+0.90% |
6.17% |
0.1825 |
0.1282 |
1.7157 |
+4.93% |
| NEUTRAL |
70 |
55.71% |
+0.98% |
+0.62% |
4.06% |
0.2422 |
0.1504 |
2.0222 |
+3.42% |
| BUY_STRONG |
70 |
47.14% |
+0.75% |
-0.14% |
7.86% |
0.0956 |
0.0655 |
1.3651 |
+5.57% |
KOSPI — D+10
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
2987 |
55.01% |
+1.95% |
+0.88% |
9.76% |
0.1999 |
0.2006 |
1.7948 |
+7.98% |
| MIXED |
2557 |
51.39% |
+1.54% |
+0.39% |
9.46% |
0.1628 |
0.1589 |
1.6004 |
+7.53% |
| MIXED_BUY_LEAN |
1844 |
52.93% |
+1.66% |
+0.62% |
9.67% |
0.1717 |
0.162 |
1.6232 |
+8.04% |
| AVOID |
1269 |
53.59% |
+1.57% |
+0.60% |
8.96% |
0.1756 |
0.1737 |
1.6647 |
+6.96% |
| BUY |
680 |
51.18% |
+1.06% |
+0.29% |
8.66% |
0.1226 |
0.1131 |
1.4172 |
+6.64% |
| CAUTION |
408 |
49.26% |
+0.74% |
+0.00% |
7.03% |
0.1052 |
0.1015 |
1.3596 |
+4.99% |
| WATCH |
261 |
52.87% |
+1.19% |
+0.40% |
9.14% |
0.1297 |
0.1557 |
1.587 |
+5.56% |
| AVOID_STRONG |
144 |
64.58% |
+2.56% |
+2.33% |
8.79% |
0.2912 |
0.2912 |
2.2707 |
+7.69% |
| NEUTRAL |
70 |
61.43% |
+1.95% |
+1.25% |
6.42% |
0.3042 |
0.2989 |
2.5918 |
+5.13% |
| BUY_STRONG |
70 |
50.00% |
+2.32% |
+0.04% |
11.69% |
0.1985 |
0.2024 |
1.7405 |
+9.34% |
KOSPI — D+20
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
2987 |
56.18% |
+3.99% |
+1.71% |
14.76% |
0.2707 |
0.4106 |
2.2766 |
+12.56% |
| MIXED |
2557 |
54.13% |
+3.31% |
+1.05% |
13.93% |
0.2378 |
0.3419 |
2.0468 |
+11.95% |
| MIXED_BUY_LEAN |
1844 |
53.47% |
+3.70% |
+1.05% |
14.83% |
0.2496 |
0.3611 |
2.1052 |
+12.92% |
| AVOID |
1269 |
54.29% |
+2.98% |
+0.97% |
13.43% |
0.2222 |
0.3292 |
1.958 |
+10.74% |
| BUY |
680 |
53.53% |
+2.37% |
+1.01% |
13.01% |
0.182 |
0.2524 |
1.7269 |
+10.63% |
| CAUTION |
408 |
53.43% |
+1.82% |
+0.56% |
9.66% |
0.1884 |
0.2496 |
1.7542 |
+7.84% |
| WATCH |
261 |
56.32% |
+2.16% |
+1.17% |
11.61% |
0.1859 |
0.2836 |
1.7814 |
+9.05% |
| AVOID_STRONG |
144 |
66.67% |
+5.22% |
+3.59% |
14.41% |
0.3625 |
0.5946 |
2.951 |
+12.66% |
| NEUTRAL |
70 |
61.43% |
+2.54% |
+1.88% |
8.54% |
0.2971 |
0.3879 |
2.247 |
+7.90% |
| BUY_STRONG |
70 |
52.86% |
+4.23% |
+1.43% |
17.50% |
0.2419 |
0.3691 |
2.0389 |
+15.21% |
KOSPI — D+60
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
2886 |
60.60% |
+11.46% |
+5.14% |
29.15% |
0.393 |
- |
3.895 |
+26.90% |
| MIXED |
2463 |
60.70% |
+10.46% |
+4.68% |
26.44% |
0.3954 |
- |
3.6581 |
+25.71% |
| MIXED_BUY_LEAN |
1762 |
61.35% |
+11.46% |
+5.05% |
28.04% |
0.4087 |
- |
3.7005 |
+27.29% |
| AVOID |
1245 |
56.71% |
+7.18% |
+2.36% |
25.90% |
0.2774 |
- |
2.6567 |
+21.43% |
| BUY |
649 |
62.25% |
+9.01% |
+4.06% |
25.23% |
0.3573 |
- |
3.4605 |
+22.61% |
| CAUTION |
407 |
58.23% |
+4.71% |
+2.65% |
18.17% |
0.2591 |
- |
2.1938 |
+15.88% |
| WATCH |
258 |
63.95% |
+4.45% |
+3.44% |
15.48% |
0.2873 |
- |
2.2703 |
+16.33% |
| AVOID_STRONG |
137 |
59.85% |
+11.18% |
+4.14% |
26.90% |
0.4157 |
- |
4.4324 |
+25.98% |
| NEUTRAL |
70 |
75.71% |
+7.27% |
+5.77% |
15.70% |
0.4627 |
- |
3.7934 |
+17.06% |
| BUY_STRONG |
63 |
63.49% |
+15.23% |
+5.37% |
33.26% |
0.4581 |
- |
4.3223 |
+31.73% |
3.3 KOSDAQ Verdict별 성과
KOSDAQ — D+5
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
2347 |
49.38% |
+1.22% |
+0.00% |
10.04% |
0.1218 |
0.0909 |
1.445 |
+7.37% |
| MIXED |
1356 |
50.07% |
+1.40% |
+0.07% |
9.48% |
0.1473 |
0.1024 |
1.5342 |
+7.98% |
| MIXED_BUY_LEAN |
868 |
50.12% |
+1.07% |
+0.14% |
10.68% |
0.1007 |
0.0764 |
1.3551 |
+7.78% |
| AVOID |
839 |
50.18% |
+1.39% |
+0.12% |
8.96% |
0.1553 |
0.1116 |
1.5949 |
+7.13% |
| BUY |
273 |
48.35% |
+1.66% |
-0.20% |
10.65% |
0.1563 |
0.1302 |
1.6316 |
+7.65% |
| AVOID_STRONG |
130 |
47.69% |
+0.14% |
-0.04% |
7.25% |
0.0194 |
0.0113 |
1.0564 |
+5.57% |
| CAUTION |
111 |
36.94% |
+1.39% |
+0.00% |
7.17% |
0.1942 |
0.161 |
2.0759 |
-28.38% |
| WATCH |
59 |
44.07% |
+1.10% |
-0.69% |
9.48% |
0.1156 |
0.1054 |
1.486 |
+6.07% |
| BUY_STRONG |
21 |
47.62% |
+0.44% |
+0.00% |
10.00% |
0.0439 |
0.0295 |
1.1189 |
+6.85% |
KOSDAQ — D+10
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
2347 |
50.02% |
+2.53% |
+0.13% |
14.65% |
0.173 |
0.1883 |
1.6944 |
+11.70% |
| MIXED |
1356 |
51.92% |
+2.44% |
+0.33% |
14.04% |
0.1735 |
0.1785 |
1.6679 |
+11.91% |
| MIXED_BUY_LEAN |
868 |
50.92% |
+2.56% |
+0.42% |
15.53% |
0.1648 |
0.182 |
1.6509 |
+12.18% |
| AVOID |
839 |
51.01% |
+2.89% |
+0.34% |
13.46% |
0.2147 |
0.2318 |
1.9312 |
+11.21% |
| BUY |
273 |
53.11% |
+3.73% |
+1.34% |
14.51% |
0.257 |
0.2919 |
2.1631 |
+11.82% |
| AVOID_STRONG |
130 |
48.46% |
+0.24% |
-0.30% |
8.96% |
0.0271 |
0.0194 |
1.0724 |
+8.35% |
| CAUTION |
111 |
41.44% |
+2.65% |
+0.00% |
14.64% |
0.1809 |
0.3063 |
2.4364 |
-23.40% |
| WATCH |
59 |
47.46% |
+2.16% |
-0.58% |
12.89% |
0.1679 |
0.2081 |
1.8036 |
+8.76% |
| BUY_STRONG |
21 |
61.90% |
+7.75% |
+2.49% |
19.65% |
0.3941 |
0.5206 |
3.3764 |
+14.97% |
KOSDAQ — D+20
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
2347 |
54.15% |
+5.23% |
+1.24% |
22.53% |
0.232 |
0.3884 |
2.1192 |
+18.70% |
| MIXED |
1356 |
54.57% |
+5.70% |
+1.93% |
21.76% |
0.2622 |
0.4181 |
2.2475 |
+18.93% |
| MIXED_BUY_LEAN |
868 |
53.00% |
+5.94% |
+1.45% |
24.22% |
0.2454 |
0.4225 |
2.1909 |
+19.49% |
| AVOID |
839 |
56.73% |
+5.28% |
+2.29% |
18.59% |
0.2841 |
0.4235 |
2.3029 |
+17.63% |
| BUY |
273 |
55.31% |
+6.52% |
+1.91% |
21.47% |
0.3036 |
0.5102 |
2.5593 |
+18.64% |
| AVOID_STRONG |
130 |
49.23% |
+1.04% |
-0.19% |
13.12% |
0.079 |
0.083 |
1.2265 |
+11.61% |
| CAUTION |
111 |
36.94% |
+4.84% |
+0.00% |
25.35% |
0.1911 |
0.5603 |
2.5636 |
-15.05% |
| WATCH |
59 |
62.71% |
+3.80% |
+2.80% |
14.78% |
0.2568 |
0.365 |
2.0515 |
+13.30% |
| BUY_STRONG |
21 |
61.90% |
+13.16% |
+7.88% |
26.43% |
0.4977 |
0.8843 |
4.8167 |
+26.85% |
KOSDAQ — D+60
| Verdict |
N |
WinRate |
Mean |
Median |
Std |
Sharpe |
Calmar |
PF |
MaxHigh |
| MIXED_SELL_LEAN |
2248 |
57.56% |
+18.48% |
+5.35% |
57.20% |
0.323 |
- |
3.8254 |
+43.44% |
| MIXED |
1304 |
58.74% |
+18.70% |
+6.31% |
50.40% |
0.3711 |
- |
4.0656 |
+44.35% |
| MIXED_BUY_LEAN |
831 |
63.06% |
+19.29% |
+9.55% |
44.80% |
0.4306 |
- |
4.5335 |
+44.41% |
| AVOID |
827 |
58.77% |
+13.72% |
+5.76% |
40.37% |
0.3398 |
- |
3.1883 |
+37.05% |
| BUY |
265 |
58.87% |
+16.51% |
+5.09% |
38.18% |
0.4323 |
- |
3.7977 |
+39.45% |
| AVOID_STRONG |
128 |
53.91% |
+8.25% |
+3.31% |
37.03% |
0.2228 |
- |
2.1062 |
+30.68% |
| CAUTION |
111 |
39.64% |
+10.37% |
+0.00% |
50.12% |
0.2069 |
- |
2.332 |
+12.08% |
| WATCH |
59 |
62.71% |
+6.61% |
+5.21% |
25.02% |
0.2641 |
- |
2.0455 |
+26.71% |
| BUY_STRONG |
21 |
76.19% |
+27.87% |
+20.10% |
47.43% |
0.5875 |
- |
5.5187 |
+58.48% |
4. 국면별 Verdict 성과 (D+20)
2022-bear
| Verdict |
N |
WinRate |
Mean |
Median |
Sharpe |
Calmar |
| MIXED_SELL_LEAN |
1150 |
52.17% |
+1.09% |
+0.60% |
0.0853 |
0.1056 |
| MIXED |
765 |
47.97% |
-0.06% |
-0.30% |
-0.0057 |
-0.0063 |
| AVOID |
538 |
47.96% |
+1.02% |
-0.54% |
0.0734 |
0.0983 |
| MIXED_BUY_LEAN |
512 |
40.23% |
-0.68% |
-2.18% |
-0.0531 |
-0.0618 |
| BUY |
209 |
44.02% |
-0.99% |
-1.55% |
-0.0891 |
-0.093 |
| CAUTION |
165 |
35.76% |
-1.16% |
+0.00% |
-0.1321 |
-0.1515 |
| WATCH |
103 |
48.54% |
-1.13% |
-0.37% |
-0.1121 |
-0.1226 |
| AVOID_STRONG |
92 |
64.13% |
+4.04% |
+3.79% |
0.2963 |
0.4366 |
| NEUTRAL |
16 |
43.75% |
-0.08% |
-1.02% |
-0.01 |
-0.0103 |
| BUY_STRONG |
9 |
33.33% |
-6.23% |
-5.00% |
-0.5599 |
-0.5518 |
2023-rebound
| Verdict |
N |
WinRate |
Mean |
Median |
Sharpe |
Calmar |
| MIXED_SELL_LEAN |
1119 |
55.14% |
+4.25% |
+1.04% |
0.231 |
0.4153 |
| MIXED |
923 |
53.20% |
+3.46% |
+0.84% |
0.2145 |
0.3638 |
| MIXED_BUY_LEAN |
675 |
53.19% |
+3.26% |
+0.85% |
0.1993 |
0.3124 |
| AVOID |
515 |
56.12% |
+2.64% |
+1.56% |
0.2148 |
0.2869 |
| BUY |
274 |
55.47% |
+2.30% |
+1.22% |
0.1801 |
0.2584 |
| CAUTION |
155 |
52.90% |
+0.91% |
+0.35% |
0.101 |
0.1306 |
| WATCH |
103 |
58.25% |
+4.18% |
+1.32% |
0.3229 |
0.6361 |
| AVOID_STRONG |
44 |
56.82% |
+2.50% |
+3.25% |
0.2266 |
0.2519 |
| NEUTRAL |
40 |
65.00% |
+1.02% |
+2.43% |
0.1879 |
0.1689 |
| BUY_STRONG |
16 |
56.25% |
+6.56% |
+3.44% |
0.2794 |
0.5852 |
2024-mixed
| Verdict |
N |
WinRate |
Mean |
Median |
Sharpe |
Calmar |
| MIXED_SELL_LEAN |
1371 |
49.53% |
+2.34% |
-0.16% |
0.1398 |
0.1908 |
| MIXED |
904 |
51.00% |
+2.75% |
+0.29% |
0.158 |
0.2316 |
| MIXED_BUY_LEAN |
566 |
48.76% |
+2.06% |
-0.65% |
0.1303 |
0.1627 |
| AVOID |
547 |
51.01% |
+2.55% |
+0.26% |
0.1682 |
0.2259 |
| BUY |
170 |
50.59% |
+2.55% |
+0.26% |
0.1727 |
0.2039 |
| CAUTION |
101 |
60.40% |
+5.35% |
+2.66% |
0.4329 |
0.6621 |
| AVOID_STRONG |
95 |
47.37% |
-0.77% |
-0.83% |
-0.0631 |
-0.0607 |
| WATCH |
59 |
64.41% |
+2.99% |
+2.16% |
0.2761 |
0.3722 |
| BUY_STRONG |
16 |
43.75% |
+10.36% |
-1.81% |
0.444 |
0.7922 |
| NEUTRAL |
7 |
71.43% |
+6.17% |
+5.85% |
0.6707 |
1.0135 |
2025-current
| Verdict |
N |
WinRate |
Mean |
Median |
Sharpe |
Calmar |
| MIXED_SELL_LEAN |
1694 |
62.16% |
+8.85% |
+4.55% |
0.3966 |
0.7302 |
| MIXED |
1321 |
60.94% |
+8.00% |
+4.01% |
0.4136 |
0.6642 |
| MIXED_BUY_LEAN |
959 |
63.09% |
+9.35% |
+4.97% |
0.4217 |
0.7956 |
| AVOID |
508 |
66.73% |
+9.68% |
+5.70% |
0.4975 |
0.8941 |
| BUY |
300 |
61.67% |
+8.44% |
+3.23% |
0.4131 |
0.8194 |
| CAUTION |
98 |
58.16% |
+8.06% |
+2.08% |
0.3168 |
1.0123 |
| WATCH |
55 |
65.45% |
+5.41% |
+1.97% |
0.3702 |
0.5936 |
| BUY_STRONG |
50 |
62.00% |
+7.16% |
+5.08% |
0.3817 |
0.5727 |
| AVOID_STRONG |
43 |
72.09% |
+11.13% |
+9.65% |
0.6354 |
1.1929 |
| NEUTRAL |
10 |
70.00% |
+10.11% |
+13.35% |
0.7733 |
1.391 |
5. 속도 지표 (Time-to-X)
| Verdict |
N |
+5% 도달율 |
+5% Median 일 |
+10% 도달율 |
+10% Median 일 |
-5% 도달율 |
-5% Median 일 |
| MIXED_SELL_LEAN |
5334 |
98.9% |
7.0 |
97.9% |
20.0 |
84.7% |
7.0 |
| MIXED |
3913 |
99.2% |
8.0 |
97.8% |
22.0 |
83.2% |
7.0 |
| MIXED_BUY_LEAN |
2712 |
98.5% |
7.0 |
97.2% |
21.0 |
82.5% |
7.0 |
| AVOID |
2108 |
99.0% |
9.0 |
97.9% |
25.0 |
82.3% |
9.0 |
| BUY |
953 |
98.9% |
10.0 |
97.5% |
28.0 |
82.3% |
8.5 |
| CAUTION |
519 |
99.6% |
19.0 |
99.0% |
49.0 |
80.3% |
12.0 |
| WATCH |
320 |
98.8% |
16.0 |
98.1% |
38.0 |
75.9% |
12.0 |
| AVOID_STRONG |
274 |
99.3% |
7.0 |
98.9% |
24.0 |
88.0% |
7.0 |
| BUY_STRONG |
91 |
93.4% |
8.0 |
90.1% |
15.5 |
74.7% |
4.5 |
| NEUTRAL |
73 |
97.3% |
17.0 |
95.9% |
37.0 |
67.1% |
17.0 |
6. 핵심 관찰
6.1 Baseline (시장구분별 무조건 보유)
| 시장 |
n |
D+5 win |
D+5 mean |
D+20 win |
D+20 mean |
D+60 win |
D+60 mean |
| KOSPI |
10,290 |
51.89% |
+0.79% |
54.83% |
+3.42% |
60.48% |
+10.05% |
| KOSDAQ |
6,007 |
49.39% |
+1.26% |
54.19% |
+5.42% |
58.53% |
+17.40% |
| ALL |
16,297 |
50.97% |
+0.96% |
54.59% |
+4.15% |
59.76% |
+12.75% |
중요: 백테스트 기간(2022-01 ~ 2026-04) 자체가 강한 상승장이다. 시총 상위 80종목 baseline D+60 +12.75%, 윈율 60%. 이는 survivorship bias + 사이클 효과로, trigger를 비교할 때 alpha = (verdict mean) - (baseline mean) 으로 봐야 의미 있음.
6.2 Verdict alpha (ALL, D+20 기준)
| Verdict |
n |
D+20 mean |
alpha vs baseline(+4.15%) |
D+60 mean |
alpha vs baseline(+12.75%) |
| BUY_STRONG |
91 |
+6.29% |
+2.14pp |
+18.39% |
+5.64pp |
| MIXED_SELL_LEAN |
5,334 |
+4.54% |
+0.39pp |
+14.53% |
+1.78pp |
| MIXED_BUY_LEAN |
2,712 |
+4.42% |
+0.27pp |
+13.97% |
+1.22pp |
| MIXED |
3,913 |
+4.14% |
-0.01pp |
+13.31% |
+0.56pp |
| AVOID_STRONG |
274 |
+3.24% |
-0.91pp |
+9.76% |
-2.99pp |
| AVOID |
2,108 |
+3.90% |
-0.25pp |
+9.79% |
-2.96pp |
| BUY |
953 |
+3.56% |
-0.59pp |
+11.19% |
-1.56pp |
| CAUTION |
519 |
+2.47% |
-1.68pp |
+5.92% |
-6.83pp |
| WATCH |
320 |
+2.46% |
-1.69pp |
+4.85% |
-7.90pp |
| NEUTRAL |
73 |
+2.52% |
-1.63pp |
+6.89% |
-5.86pp |
관찰 1 — BUY_STRONG만 명확한 alpha:
- D+60 +18.39% (baseline +12.75% 대비 +5.64pp alpha)
- 윈율 66.67%, Sharpe 0.49, Profit Factor 4.69
- 단, n=91로 표본 작음. KOSDAQ BUY_STRONG (n=21)은 D+20 +13.16%, Calmar 0.88 — 가장 강한 신호
관찰 2 — MIXED 계열이 baseline과 거의 동일:
- MIXED_BUY_LEAN, MIXED_SELL_LEAN, MIXED 모두 D+20 +4%대로 baseline +4.15%와 유사
- 즉 MIXED는 정보가 없는 상태 = 시장 평균과 동일. PM 직관과 일치 ("MIXED는 들어가지 마라")
- 표본의 73%(11,959 / 16,297)가 MIXED 계열 → 시스템이 대부분 시점에서 명확한 신호 없음을 인정함
관찰 3 — AVOID/CAUTION이 음의 alpha:
- CAUTION D+60 -6.83pp, WATCH -7.90pp
- AVOID/AVOID_STRONG도 -2.96 ~ -2.99pp
- trigger가 위험 회피에 가치 있음. 단 AVOID > AVOID_STRONG (역전), 임계 재검토 후보
관찰 4 — BUY가 baseline보다 약함 (-0.59pp):
- 가장 의외의 결과. BUY 신호인데 시장 평균보다 못함
- 가능 원인: BUY는 "이미 상승한 종목"을 잡아 추격 매수가 되는 경향. 진입가 자체가 고점 근처
- BUY 평균 max_high (+12.92%)는 baseline 비슷하나 종가 +3.56%로 회귀 — 고점 매수 → 조정 흡수 패턴
6.3 국면별 관찰 (2022-bear)
2022 하락장에서 verdict별 D+20 평균:
| Verdict |
n |
D+20 mean |
| WATCH |
103 |
-1.13% (이 시장은 WATCH가 위험) |
| MIXED_BUY_LEAN |
512 |
-0.68% |
| MIXED |
765 |
-0.06% |
| AVOID |
538 |
+1.02% |
| MIXED_SELL_LEAN |
1,150 |
+1.09% (역설적: 매도 신호가 양수) |
- 하락장에서 BUY 신호가 가장 위험: MIXED_BUY_LEAN D+20 -0.68%, WATCH -1.13%
- AVOID/MIXED_SELL_LEAN이 오히려 양수: 하락장에서 약한 BUY 신호 들어가지 않는 것 자체가 가치
- 이는 체계적 위험회피 가치를 시사. trigger가 BUY 신호 안 줄 때 진입 안 하면 손실 회피
6.4 속도 (Time-to-X) — KOSDAQ BUY_STRONG
| Verdict |
n |
+5% 도달율 |
+5% Median 일 |
+10% 도달율 |
+10% Median 일 |
| KOSDAQ BUY_STRONG |
21 |
95.2% |
5.5일 |
90.5% |
11일 |
| KOSPI BUY_STRONG |
70 |
92.9% |
9일 |
90.0% |
16일 |
| ALL MIXED |
3,913 |
99.2% |
8일 |
97.8% |
22일 |
- BUY_STRONG은 속도도 빠름: KOSDAQ는 +5%까지 median 5.5일, +10%까지 11일
- 추후 진입·익절 전략 설계 시 "BUY_STRONG → +10% 11일 익절"이 가능 신호
6.5 KOSPI vs KOSDAQ 차이
| 시장 |
BUY_STRONG D+20 |
KOSDAQ는 표본 21로 적지만 강한 신호 |
| KOSPI BUY_STRONG |
+4.23% (n=70) |
baseline +3.42% 대비 +0.81pp |
| KOSDAQ BUY_STRONG |
+13.16% (n=21) |
baseline +5.42% 대비 +7.74pp |
- KOSDAQ에서 trigger가 훨씬 강한 alpha. 변동성이 크고 정보 비대칭이 큰 시장에서 시스템 가치 ↑
- 단 표본이 작아 추가 검증 필요
6.6 결론
- BUY_STRONG은 명확한 edge: D+60 +5.64pp alpha, Sharpe 0.49, Profit Factor 4.69. 단 발생 빈도 0.6%(91/16,297)로 매우 보수적.
- MIXED는 정보 없음: baseline과 동일. 진입하지 말 것. 73% 시점이 MIXED → 시스템이 "모름"을 정직하게 표현.
- AVOID 가치: 음의 alpha 확인. 하락장(2022)에서 특히 중요. 체계적 회피 효과.
- BUY는 추격 매수 위험: 단일 BUY는 baseline 미만. BUY_STRONG (다중 합의)만 신뢰.
- KOSDAQ에서 alpha 크고 속도 빠름: 변동성 큰 시장에 적용 가치.
- AVOID_STRONG 임계 재검토 필요: AVOID(2,108)가 AVOID_STRONG(274)보다 d+20에서 더 나쁨. 4 vs 5 vote 임계 강화 필요.
7. 한계
- survivorship bias: 2026-05 시총 상위 80 고정 사용. 상장폐지·신규상장 보정 없음.
- 거래량 데이터 quality: 일부 종목 IPO 직후 또는 분할 시점 거래량 왜곡 가능.
- slippage·수수료 미반영: 단순 close 수익률.
- 자기상관 잔여: 5일 간격이지만 종목별 추세 자기상관은 남음.