Trend-Following Backtester · Guide · backtest 한국어
etf · IL
KSM ETF (4A) TA-125 backtest
10 trend-following strategies were compared on the full daily history of KSM ETF (4A) TA-125. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.9%, MDD -21.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -34.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -24.3%, Sharpe 1.22, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 9.7%p (CAGR 13.9%, MDD -21.6%, exposure 67%).
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=7, slow=133 |
14.2% | -24.3% | 1.22 | 0.58 | 2.6x | 10 | 64% |
| EMA 크로스오버 fast=53, slow=178 |
13.9% | -21.6% | 1.17 | 0.64 | 2.5x | 5 | 67% |
| ROC 모멘텀 n=141, threshold=0.01 |
13.0% | -20.2% | 1.14 | 0.65 | 2.4x | 23 | 64% |
| Donchian 채널 돌파 entryN=98, exitN=70 |
11.2% | -23.2% | 1.04 | 0.48 | 2.1x | 7 | 58% |
| Supertrend period=13, mult=4.9 |
10.5% | -26.1% | 0.95 | 0.40 | 2.0x | 20 | 62% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=3.2 |
7.7% | -23.8% | 0.87 | 0.32 | 1.7x | 22 | 45% |
| ADX / DI 방향성 period=32, threshold=15 |
7.1% | -19.1% | 0.83 | 0.37 | 1.6x | 32 | 38% |
| 볼린저 밴드 돌파 n=58, k=2.4 |
6.4% | -23.2% | 0.74 | 0.28 | 1.5x | 18 | 42% |
| MACD fast=21, slow=53, signal=13 |
4.8% | -18.4% | 0.53 | 0.26 | 1.4x | 59 | 50% |
| Parabolic SAR step=0.01, maxStep=0.24 |
4.4% | -25.9% | 0.46 | 0.17 | 1.4x | 82 | 62% |
| Buy and hold | 15.1% | -34.0% | 0.97 | 0.44 | 2.7x | 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 7-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 7-day average falls below the 133-day average