Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Semicon ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Semicon ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.6%, MDD -31.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.1%, drawdown -50.3%).
Sharpe leader (same as main): Supertrend — CAGR 12.6%, MDD -31.1%, Sharpe 0.72, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 19.1%p (CAGR 12.6%, MDD -31.1%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=5, mult=5 |
12.6% | -31.1% | 0.72 | 0.40 | 10.1x | 58 | 53% |
| Donchian 채널 돌파 entryN=20, exitN=41 |
11.3% | -43.4% | 0.64 | 0.26 | 8.1x | 58 | 70% |
| SMA 크로스오버 fast=58, slow=134 |
11.4% | -50.3% | 0.61 | 0.23 | 8.2x | 27 | 63% |
| EMA 크로스오버 fast=35, slow=50 |
10.3% | -43.4% | 0.59 | 0.24 | 6.8x | 48 | 62% |
| ROC 모멘텀 n=16, threshold=-0.1 |
11.3% | -49.4% | 0.58 | 0.23 | 8.0x | 94 | 95% |
| ADX / DI 방향성 period=37, threshold=19 |
6.6% | -23.4% | 0.54 | 0.28 | 3.5x | 30 | 12% |
| 볼린저 밴드 돌파 n=41, k=3.2 |
4.2% | -19.4% | 0.50 | 0.22 | 2.2x | 10 | 6% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=13, mult=2.2 |
4.4% | -34.1% | 0.47 | 0.13 | 2.3x | 92 | 18% |
| MACD fast=19, slow=32, signal=17 |
5.7% | -63.2% | 0.42 | 0.09 | 3.0x | 206 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
5.1% | -55.7% | 0.38 | 0.09 | 2.6x | 158 | 57% |
| Buy and hold | 14.1% | -50.3% | 0.64 | 0.28 | 13.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 5-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)