Trend-Following Backtester · Guide · backtest 한국어

etf · IL

KSM ETF (6A) Leveraged TA-35 x3 Monthly Units backtest

10 trend-following strategies were compared on the full daily history of KSM ETF (6A) Leveraged TA-35 x3 Monthly Units. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 32.5%, MDD -33.3%).

Data 2019-08-14 ~ 2026-07-31daily bars 1,394 (7.0 years)Costs 0.5%Venue TASEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 23.1%, drawdown -79.0%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 44.9%, MDD -40.1%, Sharpe 1.41, 55% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 32.5%, MDD -33.3%, exposure 44%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=77, slow=208
44.9%-40.1%1.411.1213.3x355%
ROC 모멘텀
n=129, threshold=0.05
37.3%-42.0%1.260.899.1x2054%
Donchian 채널 돌파
entryN=144, exitN=65
32.5%-33.3%1.230.987.1x444%
EMA 크로스오버
fast=9, slow=136
36.0%-43.9%1.230.828.5x1055%
Supertrend
period=16, mult=3.7
21.6%-67.9%0.870.323.9x3256%
ADX / DI 방향성
period=30, threshold=16
15.5%-32.7%0.840.472.7x2227%
볼린저 밴드 돌파
n=55, k=1.7
17.5%-45.4%0.810.393.1x2644%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=12, mult=1.5
15.9%-55.5%0.730.292.8x4251%
Parabolic SAR
step=0.02, maxStep=0.32
16.2%-49.4%0.710.332.8x12259%
MACD
fast=19, slow=45, signal=16
14.6%-52.1%0.660.282.6x6154%
Buy and hold23.1%-79.0%0.750.294.3x1100%
1x 10x 2020 2021 2022 2023 2024 2025 2026 SMA 크로스오버Buy and hold
SMA 크로스오버: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -40% -59% -79% 2020 2021 2022 2023 2024 2025 2026 Buy and holdSMA 크로스오버
SMA 크로스오버 maximum drawdown -40.1% (2022-01-13 → 2022-06-16), recovered after 846 days.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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