Trend-Following Backtester · Guide · backtest 한국어
etf · IL
KSM ETF (6A) Short Leveraged TA-35 x2 Monthly Units backtest
10 trend-following strategies were compared on the full daily history of KSM ETF (6A) Short Leveraged TA-35 x2 Monthly Units. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 36.7%, drawdown -89.1%).
Sharpe leader (same as main): MACD — CAGR 61.1%, MDD -74.6%, Sharpe 0.42, 49% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=58, signal=18 |
61.1% | -74.6% | 0.42 | 0.82 | 27.6x | 52 | 49% |
| Parabolic SAR step=0.035, maxStep=0.2 |
45.6% | -86.8% | 0.42 | 0.53 | 13.7x | 155 | 40% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=16, mult=3.8 |
1.6% | -27.5% | 0.21 | 0.06 | 1.1x | 6 | 6% |
| ROC 모멘텀 n=5, threshold=0.11 |
1.5% | -31.1% | 0.21 | 0.05 | 1.1x | 34 | 3% |
| 볼린저 밴드 돌파 n=37, k=2.9 |
-0.3% | -39.3% | 0.05 | -0.01 | 1.0x | 8 | 7% |
| SMA 크로스오버 fast=18, slow=52 |
-6.1% | -59.8% | -0.21 | -0.10 | 0.6x | 23 | 29% |
| ADX / DI 방향성 period=18, threshold=38 |
-0.9% | -12.0% | -0.21 | -0.08 | 0.9x | 2 | 4% |
| Supertrend period=27, mult=3.6 |
-7.9% | -64.0% | -0.30 | -0.12 | 0.6x | 31 | 37% |
| Donchian 채널 돌파 entryN=90, exitN=32 |
-8.1% | -63.2% | -0.44 | -0.13 | 0.6x | 10 | 17% |
| EMA 크로스오버 fast=19, slow=40 |
-10.8% | -74.2% | -0.51 | -0.14 | 0.5x | 29 | 28% |
| Buy and hold | 36.7% | -89.1% | 0.42 | 0.41 | 8.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/58) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line