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 ROC 모멘텀 (CAGR 13.9%, MDD -20.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -34.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.4%, MDD -24.3%, Sharpe 1.23, 65% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 9.7%p (CAGR 13.9%, MDD -20.2%, exposure 64%).
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 |
14.4% | -24.3% | 1.23 | 0.59 | 2.6x | 10 | 65% |
| ROC 모멘텀 n=141, threshold=0.01 |
13.9% | -20.2% | 1.20 | 0.69 | 2.5x | 19 | 64% |
| EMA 크로스오버 fast=53, slow=178 |
14.1% | -21.6% | 1.19 | 0.66 | 2.5x | 5 | 67% |
| Donchian 채널 돌파 entryN=98, exitN=70 |
11.4% | -23.2% | 1.05 | 0.49 | 2.1x | 7 | 58% |
| Supertrend period=13, mult=4.9 |
10.6% | -26.1% | 0.96 | 0.41 | 2.0x | 20 | 63% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=16, mult=3.2 |
7.8% | -23.8% | 0.88 | 0.33 | 1.7x | 22 | 46% |
| ADX / DI 방향성 period=32, threshold=15 |
7.2% | -19.1% | 0.84 | 0.38 | 1.6x | 32 | 39% |
| 볼린저 밴드 돌파 n=58, k=2.4 |
6.5% | -23.2% | 0.75 | 0.28 | 1.5x | 18 | 43% |
| MACD fast=21, slow=53, signal=13 |
5.2% | -18.4% | 0.57 | 0.28 | 1.4x | 57 | 50% |
| Parabolic SAR step=0.01, maxStep=0.24 |
4.4% | -25.9% | 0.47 | 0.17 | 1.4x | 82 | 63% |
| Buy and hold | 15.3% | -34.0% | 0.98 | 0.45 | 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