3단계 — 케이스 스터디 (실전 규칙 · 고친 데이터 · 2007~)

청산 거래 2,456 · 손절 92 · 폐지 종목 거래 322 · 끊긴 시계열 조각 거래 377

1. 최악 20 거래

종목명	시장	진입일	청산일	레그	수익률%	손익(원)	사유	폐지종목	1년고점대비%	200일선대비%	60일변동성%	지수200일선위	지수1년고점대비%
005110.KS	KRX	2017-01-20 00:00:00	2017-02-03 00:00:00	4	-40.6	-7.34833e+06	손절	True	-34.8	-8.5	70.3	True	-0.7
020560.KS	KRX	2020-02-21 00:00:00	2020-03-20 00:00:00	4	-37.4	-6.97708e+06	손절	False	-45.7	-16.8	29.5	True	-3.2
399720.KQ	KRX	2024-07-02 00:00:00	2024-08-06 00:00:00	4	-26.6	-6.3904e+06	손절	False	-44.8	-0.1	54.8	True	-0.1
UNH	US	2025-04-21 00:00:00	2025-05-15 00:00:00	4	-23	-5.63639e+06	손절	False	-26.8	-16.8	55.7	False	-14
068760.KQ	KRX	2019-06-28 00:00:00	2019-08-06 00:00:00	4	-29.7	-5.55714e+06	손절	False	-46.1	-20.2	29.3	False	-9.7
INTU	US	2026-01-14 00:00:00	2026-02-12 00:00:00	4	-20.6	-5.06944e+06	손절	False	-24.8	-11.1	27.4	True	-0.2
249420.KS	KRX	2026-05-07 00:00:00	2026-06-24 00:00:00	4	-19.1	-5.04361e+06	손절	False	-44	-14.9	63.3	True	0
066970.KS	KRX	2026-06-09 00:00:00	2026-07-21 00:00:00	4	-19.3	-4.96869e+06	손절	False	-41.5	1.7	87.3	True	-15
002710.KS	KRX	2024-07-17 00:00:00	2024-08-06 00:00:00	4	-20.1	-4.82948e+06	손절	False	-45.9	-20.4	56.3	True	-0.9
215100.KQ	KRX	2023-04-25 00:00:00	2023-07-27 00:00:00	4	-19.9	-4.58771e+06	손절	False	-43.6	-12.3	35.2	True	-7.5
ENPH	US	2021-12-17 00:00:00	2022-01-24 00:00:00	4	-22.1	-4.56856e+06	손절	False	-28.7	10.2	73	True	-0.9
MARA	US	2025-11-12 00:00:00	2025-12-19 00:00:00	4	-17.4	-4.50405e+06	손절	False	-46.6	-8.2	76.2	True	-0.6
BB	US	2011-05-03 00:00:00	2011-06-20 00:00:00	4	-32.5	-4.43426e+06	손절	False	-31.1	-14.7	48.1	True	-0.2
033320.KQ	KRX	2018-09-17 00:00:00	2018-10-30 00:00:00	4	-23.8	-4.42506e+06	손절	False	-42.7	-12.5	45.9	False	-10.8
042000.KQ	KRX	2019-04-29 00:00:00	2019-05-15 00:00:00	4	-23	-4.36168e+06	손절	False	-49.8	-18.9	42.9	False	-13.4
ETSY	US	2022-01-05 00:00:00	2022-02-04 00:00:00	4	-20.7	-4.34376e+06	손절	False	-32.3	-4	59.5	True	-0.1
039670.KQ	KRX	2017-08-24 00:00:00	2017-09-19 00:00:00	4	-23.6	-4.16161e+06	손절	True	-42.7	-12.2	78.6	True	-3.5
007660.KS	KRX	2024-11-06 00:00:00	2024-11-19 00:00:00	4	-17.7	-4.13853e+06	손절	False	-45.7	-21.9	83.9	False	-10.9
SNAP	US	2018-08-30 00:00:00	2018-10-09 00:00:00	4	-21.8	-4.0473e+06	손절	False	-46.2	-20.7	36	True	0
026890.KS	KRX	2020-10-14 00:00:00	2020-10-27 00:00:00	4	-20.4	-3.9846e+06	손절	False	-30.3	25.8	65.8	True	-1.7

2. 최고 20 거래

종목명	시장	진입일	청산일	레그	수익률%	손익(원)	사유	폐지종목	1년고점대비%	200일선대비%	60일변동성%	지수200일선위	지수1년고점대비%
111610.KQ	KRX	2012-12-18 00:00:00	2013-01-04 00:00:00	4	48.6	7.14211e+06	익절 (RSI 50)	True	-49.5	4.9	100	True	-3.2
489790.KS	KRX	2026-07-08 00:00:00	2026-08-05 00:00:00	4	26.9	7.1314e+06	익절 (RSI 50)	False	-49.3	-23.5	85.5	True	-16
009420.KS	KRX	2020-03-18 00:00:00	2020-03-27 00:00:00	4	34.2	5.93e+06	익절 (RSI 50)	False	-49.6	-33.9	92.5	False	-26.2
034020.KS	KRX	2026-07-09 00:00:00	2026-08-05 00:00:00	4	21.5	5.60114e+06	익절 (RSI 50)	False	-45.7	-18.5	66.7	True	-20.5
SNOW	US	2022-03-04 00:00:00	2022-03-25 00:00:00	4	24.8	5.08934e+06	익절 (RSI 50)	False	-44.3	-24.8	69.1	False	-9
043200.KQ	KRX	2018-10-26 00:00:00	2018-11-21 00:00:00	4	26.1	4.61162e+06	익절 (RSI 50)	False	-43.5	-19.7	48.1	False	-20.6
122870.KQ	KRX	2020-03-10 00:00:00	2020-03-26 00:00:00	4	25.3	4.55967e+06	익절 (RSI 50)	False	-38.8	-3.5	51	False	-13.8
APLD	US	2026-07-16 00:00:00	2026-08-04 00:00:00	3	23.8	3.80229e+06	익절 (RSI 50)	False	-41.5	-11	96.8	True	-0.5
226350.KQ	KRX	2018-09-28 00:00:00	2018-10-15 00:00:00	4	20.4	3.74443e+06	익절 (RSI 50)	True	-48.8	-28.5	50.4	False	-9.3
083650.KQ	KRX	2026-05-15 00:00:00	2026-06-12 00:00:00	4	13.4	3.54147e+06	익절 (RSI 50)	False	-26	25.6	81.1	True	0
078150.KQ	KRX	2025-03-25 00:00:00	2025-04-14 00:00:00	4	14.4	3.51054e+06	익절 (RSI 50)	False	-49.2	-12	60.8	True	-9
085660.KQ	KRX	2018-03-29 00:00:00	2018-04-18 00:00:00	3	32.3	3.50195e+06	익절 (RSI 50)	False	-46.9	9.3	127.2	False	-6.9
SPOT	US	2026-01-14 00:00:00	2026-02-11 00:00:00	4	13.6	3.29733e+06	익절 (RSI 50)	False	-31.1	-17.8	29.9	True	-0.2
006360.KS	KRX	2008-01-23 00:00:00	2008-02-18 00:00:00	4	27.8	3.22977e+06	익절 (RSI 50)	False	-33.2	-5.8	66.4	False	-22.1
035760.KQ	KRX	2020-03-10 00:00:00	2020-04-07 00:00:00	4	16.5	2.97541e+06	익절 (RSI 50)	False	-48.2	-21.7	40.5	False	-13.8
016160.KS	KRX	2007-10-02 00:00:00	2007-10-17 00:00:00	4	29.6	2.95359e+06	익절 (RSI 50)	True	-27.9	30.4	75.3	True	-2.1
CNX	US	2008-08-11 00:00:00	2008-09-19 00:00:00	4	23.2	2.95275e+06	익절 (RSI 50)	False	-46.3	-18.5	78	False	-17.2
STT	US	2008-09-24 00:00:00	2008-10-14 00:00:00	4	24.1	2.88873e+06	익절 (RSI 50)	False	-36.3	-26.4	67	False	-24.1
000500.KS	KRX	2025-03-31 00:00:00	2025-04-15 00:00:00	3	19.4	2.8112e+06	익절 (RSI 50)	False	-36.4	-6.4	67.6	False	-11.5
204270.KQ	KRX	2025-03-25 00:00:00	2025-05-08 00:00:00	4	11.2	2.74303e+06	익절 (RSI 50)	False	-47.5	-22.5	88.7	True	-9

3. 진입 때 상태 — 손절 vs 익절 (중앙값)

여기서 차이가 보여도 바로 규칙으로 만들면 과적합이다. 후보로만 적고 따로 검증 구간을 나눠 시험한다.

	4레그 익절	손절	익절
1년고점대비%	-34.48	-36.64	-23.12
200일선대비%	-11.44	-14.48	-6.11
20일수익%	-11.22	-11.89	-8.33
60일변동성%	40.43	48.03	31.39
지수1년고점대비%	-5.07	-4.08	-2.95
지수20일수익%	1.08	1.69	1.28
지수200일선위	1	1	1
거래 수	136	92	2228
지수200일선위 비율%	66.9118	63.0435	76.2567

4. 진입 때 상태 사분위별 손절률 · 금액가중 기대값

	거래	손절률	금액가중기대값
1년고점대비% (-49.934, -36.048]	614	7.98	2.14
1년고점대비% (-36.048, -24.348]	614	3.42	1.79
1년고점대비% (-24.348, -14.1]	614	3.09	1.21
1년고점대비% (-14.1, 0.0]	614	0.49	1.22
200일선대비% (-38.062, -14.955]	614	6.68	1.79
200일선대비% (-14.955, -6.661]	614	2.93	1.49
200일선대비% (-6.661, 0.0]	620	1.94	1.32
200일선대비% (0.0, 59.042]	608	3.45	2.18
20일수익% (-41.879, -13.129]	614	6.51	3.58
20일수익% (-13.129, -8.647]	614	4.23	1.44
20일수익% (-8.647, -5.027]	614	2.61	0.43
20일수익% (-5.027, 6.167]	614	1.63	0.12
60일변동성% (-0.001, 23.289]	614	0.81	0.38
60일변동성% (23.289, 32.328]	614	1.95	1.17
60일변동성% (32.328, 44.265]	614	3.91	1.4
60일변동성% (44.265, 130.674]	614	8.31	2.86
지수1년고점대비% (-54.538, -8.02]	617	5.67	2.99
지수1년고점대비% (-8.02, -3.111]	611	3.27	2.11
지수1년고점대비% (-3.111, -0.707]	614	2.93	1.27
지수1년고점대비% (-0.707, 0.0]	614	3.09	0.19
지수20일수익% (-37.486, -1.397]	615	3.09	5.05
지수20일수익% (-1.397, 1.286]	613	3.43	1
지수20일수익% (1.286, 3.655]	614	4.07	-0.25
지수20일수익% (3.655, 35.488]	614	4.4	0.88

5. 위기 구간

구간	계좌%	구간 MDD%	청산 거래	손절	손익(백만)	^KS11%	^GSPC%
2008 금융위기	-11.12	-21.05	84	16	-14.93	-34.71	-42.42
2011 유럽 재정위기	4.43	-8.12	39	4	7.49	-14.11	-6.13
2014 한국 중소형 약세	-6.99	-11.14	124	8	-9.7	-2.62	12.39
2015~16 중국 쇼크	4.55	-3.67	68	2	8.21	-4.57	-7.9
2018 4분기 급락	-2.59	-7.32	28	5	-6.74	-12.73	-14.28
2020 코로나	-2.05	-17.28	21	7	-3.78	-13.14	-13.59
2022 금리 인상 약세장	4.69	-7.57	74	3	13.41	-23.27	-19.28
2026 버블 붕괴·11월 폭락	11.8	-5.98	110	4	30.52	17.4	7.56

6. 손절이 몰린 달 (상위 12개월이 손절 손실의 48%)

월	손절	손익백만
2020-03	7	-25.1
2008-10	7	-16.4
2018-10	4	-15.1
2008-09	5	-13.4
2019-08	3	-12.8
2024-08	2	-11.2
2014-10	3	-8.9
2026-02	2	-8.2
2011-08	3	-7.8
2024-11	2	-7.6
2017-02	1	-7.3
2022-01	2	-7.1