Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX AI반도체TOP2플러스 backtest
10 trend-following strategies were compared on the full daily history of KODEX AI반도체TOP2플러스. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 29.8%, MDD -25.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 31.1%, drawdown -53.7%).
Sharpe leader (same as main): MACD — CAGR 38.6%, MDD -29.4%, Sharpe 1.32, 54% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 40.4%, MDD -53.7%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 29.8%, MDD -25.9%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=34, signal=21 |
38.6% | -29.4% | 1.32 | 1.31 | 5.1x | 50 | 54% |
| Donchian 채널 돌파 entryN=34, exitN=29 |
37.8% | -30.6% | 1.20 | 1.24 | 5.0x | 16 | 58% |
| Supertrend period=13, mult=4.8 |
36.6% | -30.6% | 1.16 | 1.20 | 4.8x | 16 | 61% |
| SMA 크로스오버 fast=20, slow=211 |
40.4% | -53.7% | 1.13 | 0.75 | 5.5x | 3 | 53% |
| EMA 크로스오버 fast=30, slow=161 |
39.8% | -53.7% | 1.11 | 0.74 | 5.3x | 3 | 52% |
| ADX / DI 방향성 period=33, threshold=18 |
29.8% | -25.9% | 1.10 | 1.15 | 3.7x | 16 | 29% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=0.9 |
32.2% | -30.6% | 1.08 | 1.06 | 4.0x | 36 | 56% |
| ROC 모멘텀 n=117, threshold=0 |
37.8% | -53.7% | 1.07 | 0.70 | 5.0x | 23 | 57% |
| 볼린저 밴드 돌파 n=35, k=1.7 |
27.5% | -22.0% | 1.03 | 1.25 | 3.4x | 32 | 41% |
| Parabolic SAR step=0.03, maxStep=0.08 |
21.4% | -31.9% | 0.88 | 0.67 | 2.6x | 86 | 57% |
| Buy and hold | 31.1% | -53.7% | 0.87 | 0.58 | 3.9x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/34) crosses above its 21-day signal line
- Sell — Sell when the MACD line crosses back below the signal line