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김재현
2026-08-02 05:15:36 +09:00
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research/original/results_us/opportunity_cost_protection.csv
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strategy,cagr,cagr_opportunity_cost_vs_buy_hold_pp,mdd,mdd_improvement_vs_buy_hold_pp,relative_mdd_reduction_vs_buy_hold_pct,calmar,turnover_annual,avg_exposure
buy_hold,0.2430870493334529,0.0,-0.773128358978349,0.0,0.0,0.3144200397133025,0.0,1.0
trend_10m_shifted,0.1635747226405388,7.951232669291411,-0.3406796024449164,43.24487565334326,55.934923549420986,0.4801424020300329,1.6329354332953243,0.6660736450144807
trailing_12,0.1855134059338534,5.75736433995995,-0.3401701760332102,43.29581829451388,56.00081511914421,0.5453547048044038,4.468447120866591,0.7040752999586264
kartsell_v11_original,0.1944460763798858,4.864097295356709,-0.4376169049457289,33.551145403262005,43.39660421666357,0.4443294447320313,11.57943842645382,0.7552554820024825
kartsell_v12_candidate,0.1823237785327855,6.07632708006674,-0.3729701052232771,40.015825375507184,51.7583204791325,0.4888428750171227,1.5076453819840363,0.6618242311405323
kartsell_v12_plus_capital_floor,0.1598205106814412,8.32665386520117,-0.2744257605783987,49.87025983999503,64.50450208021876,0.582381589631354,3.390939664694983,0.6159158391945938
1 strategy cagr cagr_opportunity_cost_vs_buy_hold_pp mdd mdd_improvement_vs_buy_hold_pp relative_mdd_reduction_vs_buy_hold_pct calmar turnover_annual avg_exposure
2 buy_hold 0.2430870493334529 0.0 -0.773128358978349 0.0 0.0 0.3144200397133025 0.0 1.0
3 trend_10m_shifted 0.1635747226405388 7.951232669291411 -0.3406796024449164 43.24487565334326 55.934923549420986 0.4801424020300329 1.6329354332953243 0.6660736450144807
4 trailing_12 0.1855134059338534 5.75736433995995 -0.3401701760332102 43.29581829451388 56.00081511914421 0.5453547048044038 4.468447120866591 0.7040752999586264
5 kartsell_v11_original 0.1944460763798858 4.864097295356709 -0.4376169049457289 33.551145403262005 43.39660421666357 0.4443294447320313 11.57943842645382 0.7552554820024825
6 kartsell_v12_candidate 0.1823237785327855 6.07632708006674 -0.3729701052232771 40.015825375507184 51.7583204791325 0.4888428750171227 1.5076453819840363 0.6618242311405323
7 kartsell_v12_plus_capital_floor 0.1598205106814412 8.32665386520117 -0.2744257605783987 49.87025983999503 64.50450208021876 0.582381589631354 3.390939664694983 0.6159158391945938