Trend-Following Backtester · Guide · backtest 한국어
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KB RISE Network Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of KB RISE Network Infrastructure ETF. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 35.9%, MDD -20.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 34.0%, drawdown -53.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 42.6%, MDD -28.9%, Sharpe 1.41, 60% exposure.
Return/drawdown alternative: MACD — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 35.9%, MDD -20.8%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=14, slow=15 |
42.6% | -28.9% | 1.41 | 1.47 | 7.7x | 40 | 60% |
| 볼린저 밴드 돌파 n=53, k=2.2 |
35.7% | -24.7% | 1.35 | 1.45 | 5.8x | 8 | 25% |
| Donchian 채널 돌파 entryN=151, exitN=11 |
33.9% | -20.8% | 1.35 | 1.63 | 5.4x | 12 | 26% |
| MACD fast=19, slow=50, signal=16 |
35.9% | -20.8% | 1.34 | 1.72 | 5.8x | 44 | 51% |
| Supertrend period=25, mult=4.4 |
33.1% | -34.0% | 1.34 | 0.98 | 5.2x | 24 | 54% |
| SMA 크로스오버 fast=23, slow=34 |
38.9% | -32.7% | 1.30 | 1.19 | 6.6x | 38 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=3.1 |
34.4% | -24.7% | 1.29 | 1.39 | 5.5x | 14 | 32% |
| ROC 모멘텀 n=31, threshold=0 |
37.8% | -30.2% | 1.27 | 1.25 | 6.3x | 72 | 59% |
| ADX / DI 방향성 period=35, threshold=16 |
32.8% | -24.7% | 1.25 | 1.33 | 5.1x | 22 | 30% |
| Parabolic SAR step=0.005, maxStep=0.36 |
31.8% | -31.6% | 1.19 | 1.00 | 4.9x | 48 | 61% |
| Buy and hold | 34.0% | -53.7% | 0.97 | 0.63 | 5.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 14-day EMA crosses above the 15-day EMA
- Sell — Sell when the 14-day EMA falls below the 15-day EMA