Trend-Following Backtester · Guide · backtest 한국어
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SAMSUNG KODEX US Semiconductor ETF Units backtest
10 trend-following strategies were compared on the full daily history of SAMSUNG KODEX US Semiconductor ETF Units. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 35.3%, MDD -22.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 39.1%, drawdown -37.0%).
Sharpe leader (same as main): MACD — CAGR 31.1%, MDD -24.2%, Sharpe 1.49, 47% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 36.2%, MDD -32.2%, exposure 64%.
Return/drawdown alternative: Supertrend — CAGR is 8.0%p lower than buy and hold, while drawdown improves by 12.8%p (CAGR 35.3%, MDD -22.6%, exposure 70%).
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=18, slow=57, signal=15 |
31.1% | -24.2% | 1.49 | 1.29 | 4.0x | 44 | 47% |
| Supertrend period=21, mult=4.7 |
35.3% | -22.6% | 1.42 | 1.56 | 4.6x | 22 | 70% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=2.1 |
31.7% | -20.4% | 1.39 | 1.55 | 4.0x | 24 | 60% |
| ADX / DI 방향성 period=25, threshold=11 |
30.2% | -18.9% | 1.37 | 1.60 | 3.8x | 40 | 58% |
| SMA 크로스오버 fast=18, slow=206 |
36.2% | -32.2% | 1.35 | 1.12 | 4.8x | 3 | 64% |
| Donchian 채널 돌파 entryN=89, exitN=35 |
29.1% | -22.4% | 1.32 | 1.30 | 3.7x | 10 | 54% |
| EMA 크로스오버 fast=13, slow=24 |
30.9% | -27.0% | 1.30 | 1.14 | 3.9x | 34 | 68% |
| Parabolic SAR step=0.02, maxStep=0.02 |
31.1% | -25.1% | 1.28 | 1.24 | 4.0x | 28 | 70% |
| ROC 모멘텀 n=143, threshold=0.04 |
33.7% | -32.2% | 1.27 | 1.05 | 4.4x | 25 | 64% |
| 볼린저 밴드 돌파 n=28, k=2.2 |
22.3% | -18.0% | 1.24 | 1.24 | 2.8x | 28 | 38% |
| Buy and hold | 39.1% | -37.0% | 1.18 | 1.06 | 5.4x | 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 (18/57) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line