Trend-Following Backtester · Guide · backtest 한국어
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KB RISE Non-Memory Semiconductor Active ETF backtest
10 trend-following strategies were compared on the full daily history of KB RISE Non-Memory Semiconductor Active ETF. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 24.4%, MDD -23.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 21.0%, drawdown -51.3%).
Sharpe leader (same as main): MACD — CAGR 24.4%, MDD -23.2%, Sharpe 0.97, 48% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 28.3%, MDD -32.7%, exposure 73%.
Return/drawdown alternative: MACD — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 24.4%, MDD -23.2%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=23, slow=42, signal=18 |
24.4% | -23.2% | 0.97 | 1.05 | 3.1x | 35 | 48% |
| Donchian 채널 돌파 entryN=15, exitN=51 |
28.3% | -32.7% | 0.93 | 0.87 | 3.7x | 14 | 73% |
| EMA 크로스오버 fast=11, slow=58 |
25.8% | -27.5% | 0.91 | 0.94 | 3.3x | 22 | 59% |
| SMA 크로스오버 fast=39, slow=187 |
27.6% | -51.3% | 0.88 | 0.54 | 3.6x | 7 | 54% |
| ROC 모멘텀 n=146, threshold=0.13 |
26.7% | -51.3% | 0.88 | 0.52 | 3.4x | 11 | 47% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=17, mult=1.8 |
13.7% | -16.7% | 0.86 | 0.82 | 2.0x | 38 | 24% |
| 볼린저 밴드 돌파 n=25, k=3.1 |
5.0% | -8.4% | 0.77 | 0.59 | 1.3x | 2 | 3% |
| Supertrend period=10, mult=1.6 |
16.7% | -26.5% | 0.76 | 0.63 | 2.2x | 89 | 57% |
| ADX / DI 방향성 period=37, threshold=7 |
18.5% | -28.2% | 0.75 | 0.66 | 2.4x | 60 | 54% |
| Parabolic SAR step=0.04, maxStep=0.1 |
12.1% | -30.7% | 0.60 | 0.39 | 1.8x | 110 | 56% |
| Buy and hold | 21.0% | -51.3% | 0.68 | 0.41 | 2.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (23/42) crosses above its 18-day signal line
- Sell — Sell when the MACD line crosses back below the signal line