Trend-Following Backtester · Guide · backtest 한국어
etf · IL
KSM ETF (4A) TA-90 backtest
10 trend-following strategies were compared on the full daily history of KSM ETF (4A) TA-90. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.1%, MDD -27.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 17.5%, drawdown -39.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.1%, MDD -27.2%, Sharpe 1.29, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 11.8%p (CAGR 19.1%, MDD -27.2%, exposure 63%).
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=55, slow=196 |
19.1% | -27.2% | 1.29 | 0.70 | 3.6x | 7 | 63% |
| EMA 크로스오버 fast=50, slow=250 |
16.1% | -23.9% | 1.16 | 0.68 | 3.0x | 3 | 66% |
| Supertrend period=27, mult=5 |
13.2% | -29.6% | 0.97 | 0.45 | 2.5x | 20 | 71% |
| ROC 모멘텀 n=134, threshold=0.11 |
11.0% | -22.2% | 0.94 | 0.50 | 2.1x | 32 | 49% |
| 볼린저 밴드 돌파 n=46, k=2.6 |
7.5% | -13.5% | 0.90 | 0.55 | 1.7x | 14 | 34% |
| Donchian 채널 돌파 entryN=110, exitN=72 |
10.4% | -17.9% | 0.85 | 0.58 | 2.1x | 7 | 56% |
| MACD fast=20, slow=68, signal=28 |
9.2% | -20.5% | 0.81 | 0.45 | 1.9x | 40 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=28, mult=3.2 |
6.4% | -20.0% | 0.72 | 0.32 | 1.6x | 22 | 39% |
| ADX / DI 방향성 period=26, threshold=19 |
5.2% | -16.0% | 0.65 | 0.32 | 1.5x | 28 | 31% |
| Parabolic SAR step=0.03, maxStep=0.26 |
6.2% | -26.9% | 0.56 | 0.23 | 1.6x | 154 | 60% |
| Buy and hold | 17.5% | -39.0% | 0.98 | 0.45 | 3.3x | 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 55-day average price crosses above the 196-day average
- Sell — Sell (to cash) when the 55-day average falls below the 196-day average