Trend-Following Backtester · Guide · backtest 한국어
equity · KR
RISE 200 backtest
10 trend-following strategies were compared on the full daily history of RISE 200. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 9.8%, MDD -28.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -41.4%).
Sharpe leader (same as main): Supertrend — CAGR 9.8%, MDD -28.9%, Sharpe 0.70, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 12.5%p (CAGR 9.8%, MDD -28.9%, exposure 57%).
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=27, mult=5 |
9.8% | -28.9% | 0.70 | 0.34 | 4.0x | 48 | 57% |
| 볼린저 밴드 돌파 n=48, k=3 |
5.5% | -20.1% | 0.65 | 0.28 | 2.2x | 8 | 9% |
| ROC 모멘텀 n=137, threshold=0.18 |
9.0% | -40.9% | 0.64 | 0.22 | 3.6x | 19 | 15% |
| SMA 크로스오버 fast=18, slow=78 |
9.1% | -30.0% | 0.61 | 0.30 | 3.6x | 48 | 57% |
| ADX / DI 방향성 period=33, threshold=16 |
6.9% | -24.9% | 0.59 | 0.28 | 2.7x | 50 | 19% |
| Donchian 채널 돌파 entryN=25, exitN=55 |
8.5% | -35.7% | 0.56 | 0.24 | 3.3x | 40 | 68% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=2.3 |
5.1% | -20.9% | 0.53 | 0.24 | 2.1x | 72 | 22% |
| EMA 크로스오버 fast=11, slow=90 |
6.7% | -39.9% | 0.47 | 0.17 | 2.6x | 58 | 58% |
| MACD fast=15, slow=58, signal=23 |
5.6% | -34.8% | 0.46 | 0.16 | 2.2x | 130 | 50% |
| Parabolic SAR step=0.02, maxStep=0.26 |
0.6% | -48.8% | 0.11 | 0.01 | 1.1x | 310 | 56% |
| Buy and hold | 11.0% | -41.4% | 0.59 | 0.26 | 4.7x | 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) — 27-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)