Trend-Following Backtester · Guide · backtest 한국어
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CPSE ETF backtest
10 trend-following strategies were compared on the full daily history of CPSE ETF. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.5%, MDD -15.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.7%, drawdown -56.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.5%, MDD -15.3%, Sharpe 1.08, 35% exposure.
CAGR reference leader: Supertrend — CAGR 15.1%, MDD -27.2%, exposure 62%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 41.2%p (CAGR 13.5%, MDD -15.3%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=117, exitN=37 |
13.5% | -15.3% | 1.08 | 0.89 | 4.8x | 8 | 35% |
| Supertrend period=11, mult=4.5 |
15.1% | -27.2% | 0.99 | 0.55 | 5.7x | 22 | 62% |
| EMA 크로스오버 fast=13, slow=213 |
14.0% | -22.3% | 0.95 | 0.63 | 5.0x | 14 | 63% |
| ROC 모멘텀 n=105, threshold=0.05 |
11.0% | -30.7% | 0.83 | 0.36 | 3.6x | 62 | 50% |
| SMA 크로스오버 fast=25, slow=90 |
11.9% | -39.9% | 0.82 | 0.30 | 4.0x | 28 | 60% |
| ADX / DI 방향성 period=41, threshold=27 |
3.5% | -10.7% | 0.73 | 0.33 | 1.5x | 4 | 4% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
6.4% | -32.2% | 0.61 | 0.20 | 2.1x | 28 | 31% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=1.3 |
6.8% | -28.3% | 0.57 | 0.24 | 2.3x | 64 | 46% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.3% | -40.2% | 0.48 | 0.16 | 2.1x | 106 | 56% |
| MACD fast=15, slow=58, signal=9 |
3.1% | -36.8% | 0.29 | 0.08 | 1.5x | 180 | 49% |
| Buy and hold | 14.7% | -56.5% | 0.75 | 0.26 | 5.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 117 days
- Sell — Sell when price breaks below the lowest low of the last 37 days