Trend-Following Backtester · Guide · backtest 한국어

equity · KR

BGF리테일 backtest

10 trend-following strategies were compared on the full daily history of BGF리테일. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.3%, MDD -10.4%).

Data 2017-12-11 ~ 2026-07-31daily bars 2,114 (8.6 years)Costs 0.5%Venue XKRXMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR -7.7%, drawdown -60.4%).

Sharpe leader (same as main): MACD — CAGR -0.6%, MDD -50.7%, Sharpe 0.10, 47% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 0.4%, MDD -15.4%, exposure 2%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 9.7%p (CAGR -0.3%, MDD -10.4%, exposure 2%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
MACD
fast=12, slow=38, signal=19
-0.6%-50.7%0.10-0.010.9x9547%
볼린저 밴드 돌파
n=17, k=3.3
0.4%-15.4%0.090.021.0x62%
Keltner 채널 돌파
emaPeriod=13, atrPeriod=15, mult=2.5
0.2%-14.5%0.070.011.0x62%
SMA 크로스오버
fast=49, slow=120
-1.6%-44.2%0.05-0.040.9x1840%
ADX / DI 방향성
period=26, threshold=35
-0.3%-10.4%-0.03-0.021.0x22%
EMA 크로스오버
fast=43, slow=122
-3.9%-37.5%-0.08-0.100.7x2037%
Donchian 채널 돌파
entryN=58, exitN=75
-5.9%-48.9%-0.12-0.120.6x1452%
Supertrend
period=18, mult=1.9
-7.2%-62.6%-0.16-0.110.5x9348%
Parabolic SAR
step=0.005, maxStep=0.18
-7.8%-63.7%-0.20-0.120.5x7145%
ROC 모멘텀
n=91, threshold=0.14
-5.9%-57.3%-0.31-0.100.6x5817%
Buy and hold-7.7%-60.4%-0.05-0.130.5x1100%
1x 2018 2020 2022 2024 2026 볼린저 밴드 돌파MACDBuy and hold
MACD (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -15% -30% -45% -60% 2018 2020 2022 2024 2026 Buy and hold볼린저 밴드 돌파MACD
MACD maximum drawdown -50.7% (2022-12-20 → 2026-07-22), prior peak not yet recovered.

Rules of the top strategy

Looks at the gap (MACD) between a short and long average crossing its own signal line.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next