Trend-Following Backtester · Guide · backtest 한국어
equity · KR
RISE 종합채권(A-이상)액티브 backtest
10 trend-following strategies were compared on the full daily history of RISE 종합채권(A-이상)액티브. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.0%, MDD -2.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.5%, drawdown -11.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.3%, MDD -2.8%, Sharpe 0.96, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 8.9%p (CAGR 1.0%, MDD -2.0%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=8, slow=178 |
2.3% | -2.8% | 0.96 | 0.82 | 1.1x | 4 | 51% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=13, mult=3.8 |
1.6% | -3.1% | 0.88 | 0.52 | 1.1x | 6 | 31% |
| EMA 크로스오버 fast=33, slow=116 |
2.0% | -2.8% | 0.86 | 0.71 | 1.1x | 4 | 51% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
1.0% | -2.0% | 0.81 | 0.51 | 1.1x | 2 | 19% |
| Donchian 채널 돌파 entryN=108, exitN=63 |
1.7% | -2.9% | 0.81 | 0.58 | 1.1x | 4 | 46% |
| ADX / DI 방향성 period=36, threshold=23 |
1.4% | -4.8% | 0.59 | 0.29 | 1.1x | 6 | 44% |
| ROC 모멘텀 n=96, threshold=0 |
1.1% | -5.6% | 0.49 | 0.20 | 1.1x | 12 | 46% |
| Supertrend period=23, mult=4.9 |
-0.3% | -8.6% | -0.09 | -0.03 | 1.0x | 18 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-1.9% | -10.9% | -0.59 | -0.17 | 0.9x | 41 | 52% |
| MACD fast=17, slow=43, signal=18 |
-3.1% | -16.4% | -0.98 | -0.19 | 0.8x | 47 | 44% |
| Buy and hold | 0.5% | -11.6% | 0.14 | 0.04 | 1.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 8-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 8-day average falls below the 178-day average