Trend-Following Backtester · Guide · backtest 한국어
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SAMSUNG KODEX KOSDAQ150 INVERSE ETF backtest
10 trend-following strategies were compared on the full daily history of SAMSUNG KODEX KOSDAQ150 INVERSE ETF. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -16.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.3%, drawdown -83.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.3%, MDD -31.1%, Sharpe 0.16, 33% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR 0.5%, MDD -16.1%, exposure 6%).
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=69, slow=242 |
1.3% | -31.1% | 0.16 | 0.04 | 1.1x | 6 | 33% |
| ADX / DI 방향성 period=30, threshold=28 |
0.5% | -16.1% | 0.11 | 0.03 | 1.0x | 6 | 6% |
| MACD fast=15, slow=22, signal=10 |
-2.2% | -48.7% | 0.05 | -0.04 | 0.8x | 138 | 50% |
| EMA 크로스오버 fast=32, slow=58 |
-3.3% | -49.1% | -0.05 | -0.07 | 0.7x | 27 | 39% |
| ROC 모멘텀 n=100, threshold=-0.03 |
-4.6% | -57.6% | -0.10 | -0.08 | 0.6x | 89 | 44% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.1% | -63.6% | -0.11 | -0.08 | 0.6x | 82 | 42% |
| Supertrend period=25, mult=3.5 |
-6.3% | -74.6% | -0.16 | -0.08 | 0.5x | 56 | 39% |
| Donchian 채널 돌파 entryN=79, exitN=50 |
-6.2% | -55.6% | -0.21 | -0.11 | 0.5x | 17 | 31% |
| 볼린저 밴드 돌파 n=45, k=1.1 |
-6.8% | -63.0% | -0.21 | -0.11 | 0.5x | 64 | 30% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=27, mult=1.4 |
-8.1% | -69.9% | -0.30 | -0.12 | 0.4x | 80 | 27% |
| Buy and hold | -13.3% | -83.5% | -0.30 | -0.16 | 0.2x | 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 69-day average price crosses above the 242-day average
- Sell — Sell (to cash) when the 69-day average falls below the 242-day average