Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX 200 Total Return ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX 200 Total Return ETF. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.2%, MDD -21.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.6%, drawdown -40.6%).
Sharpe leader (same as main): Supertrend — CAGR 18.2%, MDD -21.9%, Sharpe 1.04, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 18.2%, MDD -21.9%, exposure 55%).
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=28, mult=5 |
18.2% | -21.9% | 1.04 | 0.83 | 4.3x | 22 | 55% |
| EMA 크로스오버 fast=25, slow=55 |
17.6% | -29.7% | 0.91 | 0.59 | 4.2x | 18 | 55% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=8, mult=2.8 |
14.1% | -28.7% | 0.87 | 0.49 | 3.2x | 34 | 36% |
| ADX / DI 방향성 period=36, threshold=16 |
13.1% | -21.0% | 0.86 | 0.62 | 2.9x | 28 | 20% |
| SMA 크로스오버 fast=24, slow=87 |
17.4% | -40.6% | 0.84 | 0.43 | 4.1x | 16 | 56% |
| ROC 모멘텀 n=143, threshold=0.14 |
16.0% | -40.6% | 0.83 | 0.39 | 3.7x | 25 | 28% |
| 볼린저 밴드 돌파 n=28, k=2.3 |
11.1% | -22.4% | 0.81 | 0.49 | 2.5x | 34 | 22% |
| Donchian 채널 돌파 entryN=47, exitN=47 |
15.0% | -35.5% | 0.79 | 0.42 | 3.4x | 16 | 55% |
| MACD fast=19, slow=81, signal=14 |
12.3% | -31.2% | 0.78 | 0.40 | 2.8x | 81 | 51% |
| Parabolic SAR step=0.025, maxStep=0.32 |
4.3% | -38.4% | 0.34 | 0.11 | 1.4x | 203 | 55% |
| Buy and hold | 16.6% | -40.6% | 0.73 | 0.41 | 3.9x | 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) — 28-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)