Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Banks ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Banks ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.5%, MDD -43.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.3%, drawdown -65.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -43.1%, Sharpe 0.31, 49% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 22.2%p (CAGR 3.5%, MDD -43.1%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=171 |
3.5% | -43.1% | 0.31 | 0.08 | 2.0x | 27 | 49% |
| EMA 크로스오버 fast=37, slow=86 |
2.6% | -56.9% | 0.25 | 0.05 | 1.6x | 37 | 51% |
| Donchian 채널 돌파 entryN=110, exitN=77 |
2.1% | -42.4% | 0.23 | 0.05 | 1.5x | 21 | 45% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=29, mult=4 |
0.7% | -8.4% | 0.21 | 0.08 | 1.1x | 8 | 2% |
| ADX / DI 방향성 period=29, threshold=31 |
0.6% | -12.7% | 0.18 | 0.05 | 1.1x | 4 | 2% |
| ROC 모멘텀 n=126, threshold=0.06 |
0.8% | -49.0% | 0.14 | 0.02 | 1.2x | 136 | 39% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
0.4% | -19.2% | 0.11 | 0.02 | 1.1x | 6 | 3% |
| Supertrend period=26, mult=3 |
-0.7% | -60.2% | 0.05 | -0.01 | 0.9x | 141 | 54% |
| MACD fast=6, slow=29, signal=15 |
-4.3% | -76.4% | -0.20 | -0.06 | 0.4x | 337 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-7.3% | -85.4% | -0.27 | -0.09 | 0.2x | 147 | 50% |
| Buy and hold | 2.3% | -65.3% | 0.25 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 43-day average price crosses above the 171-day average
- Sell — Sell (to cash) when the 43-day average falls below the 171-day average