Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 200미국채혼합50 backtest
10 trend-following strategies were compared on the full daily history of KODEX 200미국채혼합50. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.2%, MDD -8.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.6%, drawdown -25.3%).
Sharpe leader (same as main): Supertrend — CAGR 9.4%, MDD -11.5%, Sharpe 1.28, 61% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 8.2%, MDD -8.9%, exposure 43%).
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=22, mult=3.3 |
9.4% | -11.5% | 1.28 | 0.81 | 2.2x | 28 | 61% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=12, mult=2.3 |
8.2% | -8.9% | 1.15 | 0.92 | 2.0x | 24 | 43% |
| Donchian 채널 돌파 entryN=29, exitN=20 |
8.3% | -12.5% | 1.08 | 0.67 | 2.0x | 24 | 58% |
| 볼린저 밴드 돌파 n=47, k=1.6 |
6.9% | -9.5% | 1.00 | 0.72 | 1.8x | 34 | 46% |
| EMA 크로스오버 fast=49, slow=79 |
9.3% | -25.3% | 0.96 | 0.37 | 2.2x | 7 | 63% |
| ROC 모멘텀 n=136, threshold=-0.04 |
8.9% | -25.3% | 0.89 | 0.35 | 2.1x | 15 | 84% |
| SMA 크로스오버 fast=31, slow=155 |
8.5% | -25.3% | 0.89 | 0.34 | 2.0x | 7 | 62% |
| ADX / DI 방향성 period=29, threshold=26 |
2.4% | -7.9% | 0.68 | 0.31 | 1.2x | 8 | 9% |
| MACD fast=19, slow=63, signal=18 |
4.1% | -17.3% | 0.64 | 0.24 | 1.4x | 80 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
2.6% | -17.5% | 0.40 | 0.15 | 1.3x | 78 | 57% |
| Buy and hold | 8.6% | -25.3% | 0.84 | 0.34 | 2.0x | 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) — 22-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)