Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX US NASDAQ 100 Total Return ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX US NASDAQ 100 Total Return ETF. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 20.0%, MDD -13.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 20.1%, drawdown -31.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.2%, MDD -10.0%, Sharpe 1.59, 51% exposure.
CAGR reference leader: Parabolic SAR — CAGR 21.1%, MDD -14.8%, exposure 70%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 21.0%p (CAGR 20.0%, MDD -13.5%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=3 |
18.2% | -10.0% | 1.59 | 1.82 | 2.4x | 20 | 51% |
| Donchian 채널 돌파 entryN=22, exitN=17 |
19.0% | -19.1% | 1.49 | 1.00 | 2.5x | 26 | 59% |
| Supertrend period=28, mult=4.5 |
20.6% | -20.9% | 1.48 | 0.99 | 2.7x | 26 | 67% |
| Parabolic SAR step=0.01, maxStep=0.02 |
21.1% | -14.8% | 1.47 | 1.43 | 2.8x | 20 | 70% |
| SMA 크로스오버 fast=10, slow=37 |
20.0% | -13.5% | 1.47 | 1.47 | 2.6x | 32 | 66% |
| 볼린저 밴드 돌파 n=39, k=1.3 |
17.9% | -16.3% | 1.47 | 1.10 | 2.4x | 30 | 57% |
| MACD fast=24, slow=59, signal=14 |
17.6% | -22.4% | 1.44 | 0.78 | 2.4x | 40 | 49% |
| ROC 모멘텀 n=35, threshold=-0.01 |
20.0% | -16.5% | 1.39 | 1.21 | 2.6x | 50 | 70% |
| EMA 크로스오버 fast=59, slow=215 |
18.5% | -24.3% | 1.16 | 0.76 | 2.5x | 3 | 65% |
| ADX / DI 방향성 period=19, threshold=13 |
12.8% | -26.3% | 1.03 | 0.49 | 1.9x | 62 | 58% |
| Buy and hold | 20.1% | -31.0% | 1.02 | 0.65 | 2.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 38-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average