Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 레버리지 backtest
10 trend-following strategies were compared on the full daily history of KODEX 레버리지. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.6%, MDD -46.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.3%, drawdown -68.4%).
Sharpe leader (same as main): Supertrend — CAGR 14.6%, MDD -46.6%, Sharpe 0.64, 46% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.6%, MDD -62.5%, exposure 74%.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 21.7%p (CAGR 14.6%, MDD -46.6%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.8 |
14.6% | -46.6% | 0.64 | 0.31 | 9.4x | 58 | 46% |
| SMA 크로스오버 fast=19, slow=85 |
15.5% | -54.2% | 0.61 | 0.29 | 10.9x | 52 | 57% |
| Donchian 채널 돌파 entryN=21, exitN=70 |
15.6% | -62.5% | 0.59 | 0.25 | 10.9x | 42 | 74% |
| 볼린저 밴드 돌파 n=25, k=2.1 |
10.3% | -41.1% | 0.58 | 0.25 | 5.1x | 100 | 26% |
| ADX / DI 방향성 period=36, threshold=16 |
11.2% | -44.1% | 0.58 | 0.26 | 5.8x | 52 | 15% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=16, mult=1.4 |
12.6% | -47.6% | 0.57 | 0.27 | 7.1x | 112 | 44% |
| ROC 모멘텀 n=101, threshold=0.14 |
13.0% | -65.9% | 0.57 | 0.20 | 7.5x | 137 | 28% |
| EMA 크로스오버 fast=40, slow=130 |
12.5% | -73.8% | 0.52 | 0.17 | 7.0x | 32 | 53% |
| MACD fast=16, slow=31, signal=16 |
10.3% | -62.6% | 0.49 | 0.17 | 5.1x | 203 | 52% |
| Parabolic SAR step=0.02, maxStep=0.34 |
7.9% | -57.9% | 0.42 | 0.14 | 3.5x | 351 | 54% |
| Buy and hold | 15.3% | -68.4% | 0.55 | 0.22 | 10.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)