Trend-Following Backtester · Guide · backtest 한국어
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Premier ETF LQ-45 backtest
10 trend-following strategies were compared on the full daily history of Premier ETF LQ-45. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.9%, MDD -29.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.9%, drawdown -66.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.1%, MDD -36.9%, Sharpe 0.35, 93% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 3.9%, MDD -29.7%, exposure 79%).
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=75, threshold=-0.15 |
5.1% | -36.9% | 0.35 | 0.14 | 2.5x | 35 | 93% |
| SMA 크로스오버 fast=58, slow=176 |
3.8% | -34.8% | 0.31 | 0.11 | 2.0x | 24 | 49% |
| Donchian 채널 돌파 entryN=36, exitN=77 |
3.9% | -29.7% | 0.30 | 0.13 | 2.1x | 26 | 79% |
| MACD fast=51, slow=89, signal=22 |
3.3% | -49.9% | 0.28 | 0.07 | 1.8x | 63 | 61% |
| EMA 크로스오버 fast=38, slow=308 |
3.2% | -35.2% | 0.27 | 0.09 | 1.8x | 14 | 75% |
| 볼린저 밴드 돌파 n=41, k=2.8 |
1.3% | -37.5% | 0.18 | 0.03 | 1.3x | 26 | 12% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.9% | -39.3% | 0.14 | 0.02 | 1.2x | 101 | 67% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=9, mult=3.9 |
0.6% | -12.1% | 0.12 | 0.05 | 1.1x | 6 | 21% |
| ADX / DI 방향성 period=23, threshold=36 |
0.3% | -12.1% | 0.12 | 0.03 | 1.1x | 4 | 3% |
| Supertrend period=23, mult=5 |
-1.7% | -53.0% | -0.01 | -0.03 | 0.7x | 72 | 70% |
| Buy and hold | 1.9% | -66.0% | 0.20 | 0.03 | 1.4x | 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 75-day return is greater than -15%
- Sell — Sell when the 75-day return drops to -15% or below