Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX MSCI Korea TR backtest
10 trend-following strategies were compared on the full daily history of KODEX MSCI Korea TR. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.3%, MDD -27.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.6%, drawdown -41.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.1%, MDD -20.2%, Sharpe 0.93, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 18.1%, MDD -41.0%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 20.9%p (CAGR 16.3%, MDD -27.6%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=27, k=1.9 |
14.1% | -20.2% | 0.93 | 0.70 | 3.2x | 50 | 31% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=2.9 |
14.5% | -25.8% | 0.92 | 0.56 | 3.3x | 32 | 32% |
| Supertrend period=35, mult=4.3 |
15.4% | -28.4% | 0.92 | 0.54 | 3.5x | 40 | 50% |
| EMA 크로스오버 fast=7, slow=88 |
17.4% | -30.5% | 0.89 | 0.57 | 4.1x | 34 | 55% |
| MACD fast=14, slow=72, signal=29 |
14.8% | -25.4% | 0.87 | 0.58 | 3.3x | 68 | 50% |
| ADX / DI 방향성 period=31, threshold=16 |
13.5% | -20.8% | 0.85 | 0.65 | 3.0x | 32 | 22% |
| ROC 모멘텀 n=81, threshold=0.04 |
17.0% | -41.0% | 0.85 | 0.41 | 3.9x | 57 | 42% |
| Donchian 채널 돌파 entryN=20, exitN=33 |
16.3% | -27.6% | 0.84 | 0.59 | 3.7x | 32 | 64% |
| SMA 크로스오버 fast=51, slow=143 |
18.1% | -41.0% | 0.84 | 0.44 | 4.3x | 11 | 53% |
| Parabolic SAR step=0.02, maxStep=0.34 |
3.6% | -38.4% | 0.31 | 0.10 | 1.4x | 172 | 53% |
| Buy and hold | 16.6% | -41.0% | 0.73 | 0.41 | 3.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 27-day average (1.9× volatility)
- Sell — Sell when the close falls back to the 27-day middle average