Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Secondary Battery Industry ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Secondary Battery Industry ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.7%, MDD -31.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.4%, drawdown -74.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.8%, MDD -60.5%, Sharpe 0.78, 38% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.4%, MDD -35.9%, exposure 48%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 14.7%, MDD -31.8%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=1.4 |
14.8% | -60.5% | 0.78 | 0.25 | 3.0x | 72 | 38% |
| SMA 크로스오버 fast=3, slow=161 |
16.4% | -35.9% | 0.73 | 0.46 | 3.3x | 18 | 48% |
| ADX / DI 방향성 period=10, threshold=17 |
15.1% | -55.5% | 0.73 | 0.27 | 3.0x | 144 | 44% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=0.9 |
13.5% | -55.2% | 0.71 | 0.24 | 2.7x | 94 | 39% |
| Donchian 채널 돌파 entryN=52, exitN=66 |
15.6% | -34.1% | 0.69 | 0.46 | 3.1x | 10 | 52% |
| MACD fast=18, slow=54, signal=8 |
14.5% | -56.4% | 0.69 | 0.26 | 2.9x | 90 | 50% |
| EMA 크로스오버 fast=9, slow=138 |
14.7% | -31.8% | 0.68 | 0.46 | 3.0x | 16 | 46% |
| ROC 모멘텀 n=149, threshold=0.09 |
13.9% | -38.2% | 0.68 | 0.36 | 2.8x | 32 | 40% |
| Supertrend period=20, mult=2 |
9.6% | -51.7% | 0.52 | 0.18 | 2.1x | 102 | 49% |
| Parabolic SAR step=0.03, maxStep=0.16 |
10.1% | -39.5% | 0.51 | 0.26 | 2.1x | 196 | 54% |
| Buy and hold | 3.4% | -74.4% | 0.28 | 0.05 | 1.3x | 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 21-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 21-day middle average