Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Constructions ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Constructions ETF. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -25.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.1%, drawdown -81.2%).
Sharpe leader (same as main): MACD — CAGR 6.3%, MDD -39.7%, Sharpe 0.40, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 41.6%p (CAGR 2.3%, MDD -25.4%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=58, signal=19 |
6.3% | -39.7% | 0.40 | 0.16 | 2.8x | 142 | 50% |
| SMA 크로스오버 fast=8, slow=27 |
5.0% | -55.1% | 0.34 | 0.09 | 2.3x | 148 | 51% |
| Donchian 채널 돌파 entryN=16, exitN=15 |
4.8% | -40.1% | 0.34 | 0.12 | 2.2x | 116 | 49% |
| Parabolic SAR step=0.005, maxStep=0.24 |
4.7% | -35.7% | 0.33 | 0.13 | 2.1x | 138 | 48% |
| Supertrend period=35, mult=2.1 |
3.6% | -60.4% | 0.28 | 0.06 | 1.8x | 200 | 57% |
| ROC 모멘텀 n=83, threshold=0.16 |
2.9% | -36.9% | 0.26 | 0.08 | 1.6x | 74 | 17% |
| ADX / DI 방향성 period=25, threshold=28 |
2.3% | -25.4% | 0.25 | 0.09 | 1.5x | 18 | 7% |
| 볼린저 밴드 돌파 n=49, k=2.8 |
2.4% | -37.7% | 0.24 | 0.06 | 1.5x | 28 | 12% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=20, mult=2.2 |
2.3% | -60.1% | 0.22 | 0.04 | 1.5x | 82 | 28% |
| EMA 크로스오버 fast=42, slow=103 |
0.6% | -64.4% | 0.14 | 0.01 | 1.1x | 40 | 44% |
| Buy and hold | 0.1% | -81.2% | 0.16 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/58) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line