Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX 200 ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX 200 ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.3%, MDD -27.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -40.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -20.1%, Sharpe 0.64, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.5%, MDD -40.9%, exposure 72%.
Return/drawdown alternative: Supertrend — CAGR is 5.1%p lower than buy and hold, while drawdown improves by 20.8%p (CAGR 7.3%, MDD -27.0%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=3 |
4.5% | -20.1% | 0.64 | 0.22 | 2.4x | 10 | 9% |
| Supertrend period=14, mult=5 |
7.3% | -27.0% | 0.63 | 0.27 | 4.0x | 56 | 50% |
| Donchian 채널 돌파 entryN=27, exitN=75 |
8.5% | -40.9% | 0.59 | 0.21 | 4.9x | 39 | 72% |
| ROC 모멘텀 n=139, threshold=0.21 |
6.3% | -40.9% | 0.56 | 0.15 | 3.3x | 35 | 14% |
| SMA 크로스오버 fast=47, slow=109 |
7.5% | -42.2% | 0.54 | 0.18 | 4.1x | 33 | 61% |
| ADX / DI 방향성 period=36, threshold=19 |
5.0% | -25.2% | 0.54 | 0.20 | 2.6x | 30 | 11% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=2.4 |
5.0% | -32.2% | 0.49 | 0.16 | 2.6x | 88 | 36% |
| MACD fast=22, slow=50, signal=20 |
4.9% | -47.9% | 0.45 | 0.10 | 2.5x | 150 | 52% |
| EMA 크로스오버 fast=47, slow=67 |
5.8% | -53.3% | 0.45 | 0.11 | 3.0x | 47 | 61% |
| Parabolic SAR step=0.015, maxStep=0.08 |
0.3% | -61.3% | 0.10 | 0.00 | 1.1x | 250 | 58% |
| Buy and hold | 9.6% | -40.9% | 0.59 | 0.24 | 6.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 46-day average (3× volatility)
- Sell — Sell when the close falls back to the 46-day middle average