Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Leverage ETF (EQUITY-DERIVATIVES) backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Leverage ETF (EQUITY-DERIVATIVES). 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.6%, MDD -46.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.6%, drawdown -68.4%).
Sharpe leader (same as main): Supertrend — CAGR 14.6%, MDD -46.6%, Sharpe 0.64, 46% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.7%, MDD -62.5%, exposure 75%.
Return/drawdown alternative: Supertrend — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 21.7%p (CAGR 14.6%, MDD -46.6%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.8 |
14.6% | -46.6% | 0.64 | 0.31 | 9.4x | 58 | 46% |
| ROC 모멘텀 n=101, threshold=0.14 |
14.6% | -54.2% | 0.63 | 0.27 | 9.4x | 130 | 28% |
| SMA 크로스오버 fast=19, slow=85 |
15.6% | -54.2% | 0.61 | 0.29 | 10.9x | 52 | 57% |
| Donchian 채널 돌파 entryN=21, exitN=70 |
15.7% | -62.5% | 0.60 | 0.25 | 10.9x | 42 | 75% |
| 볼린저 밴드 돌파 n=25, k=2.1 |
10.4% | -41.1% | 0.58 | 0.25 | 5.1x | 100 | 27% |
| ADX / DI 방향성 period=36, threshold=16 |
11.3% | -44.1% | 0.58 | 0.26 | 5.8x | 52 | 15% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=1.4 |
12.7% | -47.6% | 0.58 | 0.27 | 7.1x | 112 | 44% |
| EMA 크로스오버 fast=40, slow=130 |
13.0% | -73.8% | 0.53 | 0.18 | 7.4x | 31 | 53% |
| MACD fast=16, slow=31, signal=16 |
10.5% | -62.6% | 0.50 | 0.17 | 5.1x | 202 | 52% |
| Parabolic SAR step=0.02, maxStep=0.34 |
8.0% | -53.7% | 0.43 | 0.15 | 3.5x | 350 | 54% |
| Buy and hold | 15.6% | -68.4% | 0.56 | 0.23 | 10.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)