Trend-Following Backtester · Guide · backtest 한국어
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SMDAM TOPIX ETF backtest
10 trend-following strategies were compared on the full daily history of SMDAM TOPIX ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.5%, MDD -20.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -27.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.5%, MDD -20.5%, Sharpe 0.88, 73% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 7.5%p (CAGR 13.5%, MDD -20.5%, exposure 73%).
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=51, slow=217 |
13.5% | -20.5% | 0.88 | 0.66 | 2.4x | 11 | 73% |
| Donchian 채널 돌파 entryN=21, exitN=75 |
11.7% | -25.1% | 0.79 | 0.46 | 2.1x | 13 | 89% |
| EMA 크로스오버 fast=55, slow=218 |
11.3% | -21.2% | 0.75 | 0.53 | 2.1x | 9 | 77% |
| ROC 모멘텀 n=9, threshold=-0.04 |
11.1% | -22.7% | 0.74 | 0.49 | 2.0x | 47 | 93% |
| ADX / DI 방향성 period=34, threshold=15 |
4.6% | -11.1% | 0.58 | 0.41 | 1.4x | 20 | 30% |
| Supertrend period=15, mult=4.7 |
6.6% | -29.3% | 0.57 | 0.23 | 1.5x | 49 | 70% |
| 볼린저 밴드 돌파 n=39, k=3.2 |
2.5% | -15.6% | 0.43 | 0.16 | 1.2x | 8 | 14% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=3.9 |
2.6% | -19.1% | 0.32 | 0.14 | 1.2x | 30 | 41% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-2.4% | -36.9% | -0.14 | -0.07 | 0.8x | 118 | 61% |
| MACD fast=19, slow=54, signal=18 |
-6.5% | -47.1% | -0.56 | -0.14 | 0.6x | 94 | 49% |
| Buy and hold | 13.7% | -27.9% | 0.78 | 0.49 | 2.4x | 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 51-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 51-day average falls below the 217-day average