Trend-Following Backtester · Guide · backtest 한국어
etf · IL
KSM ETF (4D) S&P MidCap 400 Units backtest
10 trend-following strategies were compared on the full daily history of KSM ETF (4D) S&P MidCap 400 Units. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.0%, MDD -13.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.2%, drawdown -38.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.0%, MDD -13.2%, Sharpe 1.08, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.5%, MDD -16.0%, exposure 90%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 25.1%p (CAGR 9.0%, MDD -13.2%, exposure 65%).
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=45, slow=75 |
9.0% | -13.2% | 1.08 | 0.68 | 1.8x | 9 | 65% |
| ROC 모멘텀 n=75, threshold=-0.12 |
9.5% | -16.0% | 0.98 | 0.59 | 1.9x | 3 | 90% |
| EMA 크로스오버 fast=14, slow=54 |
7.8% | -17.4% | 0.90 | 0.45 | 1.7x | 12 | 69% |
| Donchian 채널 돌파 entryN=25, exitN=63 |
8.5% | -19.6% | 0.90 | 0.43 | 1.8x | 7 | 78% |
| 볼린저 밴드 돌파 n=30, k=3.3 |
2.6% | -4.4% | 0.79 | 0.58 | 1.2x | 2 | 10% |
| ADX / DI 방향성 period=29, threshold=17 |
1.8% | -4.9% | 0.58 | 0.37 | 1.1x | 4 | 12% |
| Supertrend period=24, mult=5 |
4.4% | -35.2% | 0.52 | 0.13 | 1.4x | 28 | 65% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=23, mult=3.9 |
2.0% | -13.8% | 0.35 | 0.14 | 1.1x | 14 | 39% |
| Parabolic SAR step=0.015, maxStep=0.28 |
1.1% | -24.3% | 0.20 | 0.04 | 1.1x | 50 | 62% |
| MACD fast=18, slow=42, signal=19 |
0.8% | -22.8% | 0.18 | 0.03 | 1.1x | 38 | 52% |
| Buy and hold | 9.2% | -38.3% | 0.78 | 0.24 | 1.9x | 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 45-day average price crosses above the 75-day average
- Sell — Sell (to cash) when the 45-day average falls below the 75-day average