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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -40.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -20.0%, Sharpe 0.63, 9% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.2%, MDD -40.7%, exposure 75%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=3 |
4.5% | -20.0% | 0.63 | 0.23 | 2.4x | 10 | 9% |
| Donchian 채널 돌파 entryN=25, exitN=77 |
9.2% | -40.7% | 0.60 | 0.23 | 5.6x | 35 | 75% |
| SMA 크로스오버 fast=70, slow=87 |
8.2% | -47.8% | 0.56 | 0.17 | 4.8x | 64 | 58% |
| ADX / DI 방향성 period=40, threshold=15 |
5.3% | -24.7% | 0.55 | 0.21 | 2.8x | 40 | 17% |
| ROC 모멘텀 n=142, threshold=0.22 |
6.3% | -40.7% | 0.54 | 0.16 | 3.4x | 39 | 14% |
| Supertrend period=16, mult=4.7 |
6.2% | -29.5% | 0.54 | 0.21 | 3.3x | 68 | 52% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=7, mult=2.7 |
4.8% | -31.3% | 0.49 | 0.16 | 2.5x | 84 | 35% |
| EMA 크로스오버 fast=55, slow=57 |
6.4% | -49.2% | 0.48 | 0.13 | 3.4x | 44 | 61% |
| MACD fast=22, slow=46, signal=23 |
5.0% | -43.3% | 0.45 | 0.11 | 2.6x | 143 | 52% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-0.3% | -52.6% | 0.06 | -0.01 | 0.9x | 291 | 56% |
| Buy and hold | 9.6% | -40.8% | 0.58 | 0.24 | 6.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 48-day average (3× volatility)
- Sell — Sell when the close falls back to the 48-day middle average