Trend-Following Backtester · Guide · backtest 한국어
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KOSEF 200 ETF backtest
10 trend-following strategies were compared on the full daily history of KOSEF 200 ETF. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.7%, drawdown -40.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.1%, MDD -40.7%, Sharpe 0.61, 74% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=27, exitN=74 |
9.1% | -40.7% | 0.61 | 0.22 | 5.4x | 37 | 74% |
| 볼린저 밴드 돌파 n=42, k=2.9 |
4.5% | -20.0% | 0.60 | 0.22 | 2.4x | 18 | 12% |
| ROC 모멘텀 n=144, threshold=0.23 |
6.3% | -40.7% | 0.56 | 0.16 | 3.3x | 31 | 13% |
| Supertrend period=14, mult=4.7 |
5.8% | -30.1% | 0.51 | 0.19 | 3.0x | 68 | 50% |
| SMA 크로스오버 fast=47, slow=110 |
7.1% | -47.1% | 0.51 | 0.15 | 3.8x | 35 | 62% |
| EMA 크로스오버 fast=46, slow=65 |
6.8% | -46.6% | 0.50 | 0.15 | 3.6x | 41 | 62% |
| ADX / DI 방향성 period=43, threshold=18 |
4.7% | -21.4% | 0.50 | 0.22 | 2.4x | 28 | 12% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=12, mult=4 |
4.5% | -28.2% | 0.49 | 0.16 | 2.4x | 44 | 22% |
| MACD fast=23, slow=50, signal=19 |
5.0% | -40.7% | 0.46 | 0.12 | 2.6x | 150 | 52% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-0.2% | -55.6% | 0.06 | -0.00 | 1.0x | 278 | 56% |
| Buy and hold | 9.7% | -40.8% | 0.58 | 0.24 | 6.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 27 days
- Sell — Sell when price breaks below the lowest low of the last 74 days