Trend-Following Backtester · Guide · backtest 한국어
etf · KR
KB RISE Network Infrastructure ETF backtest
10 trend-following strategies were compared on the full daily history of KB RISE Network Infrastructure ETF. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 35.7%, MDD -20.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 35.7%, drawdown -53.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 42.6%, MDD -28.9%, Sharpe 1.42, 60% exposure.
Return/drawdown alternative: MACD — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 24.8%p (CAGR 35.7%, 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% | 1.42 | 1.47 | 7.9x | 41 | 60% |
| MACD fast=19, slow=50, signal=16 |
35.7% | -20.8% | 1.34 | 1.72 | 5.9x | 45 | 51% |
| 볼린저 밴드 돌파 n=53, k=2.2 |
35.1% | -24.7% | 1.34 | 1.42 | 5.8x | 8 | 25% |
| Donchian 채널 돌파 entryN=151, exitN=11 |
33.3% | -20.8% | 1.34 | 1.60 | 5.4x | 12 | 25% |
| Supertrend period=25, mult=4.4 |
32.6% | -34.0% | 1.33 | 0.96 | 5.2x | 24 | 54% |
| SMA 크로스오버 fast=23, slow=34 |
38.2% | -32.7% | 1.29 | 1.17 | 6.6x | 38 | 57% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=3.1 |
33.8% | -24.7% | 1.28 | 1.37 | 5.5x | 14 | 31% |
| ROC 모멘텀 n=31, threshold=0 |
37.4% | -31.0% | 1.27 | 1.21 | 6.4x | 73 | 58% |
| ADX / DI 방향성 period=35, threshold=16 |
32.2% | -24.7% | 1.24 | 1.31 | 5.1x | 22 | 29% |
| Parabolic SAR step=0.005, maxStep=0.36 |
31.4% | -33.3% | 1.18 | 0.94 | 4.9x | 49 | 60% |
| Buy and hold | 35.7% | -53.7% | 1.00 | 0.66 | 5.9x | 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