Trend-Following Backtester · Guide · backtest 한국어
etf · IL
KSM ETF (6A) Leveraged TA-35 x3 Monthly Units backtest
10 trend-following strategies were compared on the full daily history of KSM ETF (6A) Leveraged TA-35 x3 Monthly Units. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 32.5%, MDD -33.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 23.1%, drawdown -79.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 44.9%, MDD -40.1%, Sharpe 1.41, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 21.8%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 32.5%, MDD -33.3%, exposure 44%).
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=77, slow=208 |
44.9% | -40.1% | 1.41 | 1.12 | 13.3x | 3 | 55% |
| ROC 모멘텀 n=129, threshold=0.05 |
37.3% | -42.0% | 1.26 | 0.89 | 9.1x | 20 | 54% |
| Donchian 채널 돌파 entryN=144, exitN=65 |
32.5% | -33.3% | 1.23 | 0.98 | 7.1x | 4 | 44% |
| EMA 크로스오버 fast=9, slow=136 |
36.0% | -43.9% | 1.23 | 0.82 | 8.5x | 10 | 55% |
| Supertrend period=16, mult=3.7 |
21.6% | -67.9% | 0.87 | 0.32 | 3.9x | 32 | 56% |
| ADX / DI 방향성 period=30, threshold=16 |
15.5% | -32.7% | 0.84 | 0.47 | 2.7x | 22 | 27% |
| 볼린저 밴드 돌파 n=55, k=1.7 |
17.5% | -45.4% | 0.81 | 0.39 | 3.1x | 26 | 44% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=1.5 |
15.9% | -55.5% | 0.73 | 0.29 | 2.8x | 42 | 51% |
| Parabolic SAR step=0.02, maxStep=0.32 |
16.2% | -49.4% | 0.71 | 0.33 | 2.8x | 122 | 59% |
| MACD fast=19, slow=45, signal=16 |
14.6% | -52.1% | 0.66 | 0.28 | 2.6x | 61 | 54% |
| Buy and hold | 23.1% | -79.0% | 0.75 | 0.29 | 4.3x | 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 77-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 77-day average falls below the 208-day average