Trend-Following Backtester · Guide · backtest 한국어
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Samsung Kodex Inverse ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung Kodex Inverse ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.2%, MDD -5.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.4%, drawdown -92.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR -0.6%, MDD -32.3%, Sharpe -0.03, 10% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -0.2%, MDD -5.5%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 59.6%p (CAGR -0.2%, MDD -5.5%, exposure 1%).
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=50, k=3.5 |
-0.6% | -32.3% | -0.03 | -0.02 | 0.9x | 16 | 10% |
| ROC 모멘텀 n=15, threshold=0.13 |
-0.8% | -32.5% | -0.04 | -0.02 | 0.9x | 15 | 1% |
| ADX / DI 방향성 period=51, threshold=24 |
-0.2% | -5.5% | -0.11 | -0.04 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=100, exitN=15 |
-1.7% | -33.0% | -0.13 | -0.05 | 0.8x | 34 | 17% |
| SMA 크로스오버 fast=17, slow=147 |
-3.0% | -46.0% | -0.19 | -0.07 | 0.6x | 42 | 38% |
| Supertrend period=16, mult=4.8 |
-4.3% | -54.6% | -0.20 | -0.08 | 0.5x | 57 | 48% |
| EMA 크로스오버 fast=54, slow=153 |
-3.6% | -53.7% | -0.25 | -0.07 | 0.5x | 28 | 37% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=15, mult=2.6 |
-3.6% | -48.8% | -0.30 | -0.07 | 0.5x | 58 | 21% |
| MACD fast=19, slow=24, signal=19 |
-8.8% | -84.9% | -0.44 | -0.10 | 0.2x | 195 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-9.3% | -82.8% | -0.52 | -0.11 | 0.2x | 157 | 43% |
| Buy and hold | -12.4% | -92.0% | -0.49 | -0.13 | 0.1x | 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 50-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 50-day middle average