Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Samsung Group ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Samsung Group 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 11.8%, drawdown -40.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.8%, MDD -20.8%, Sharpe 0.65, 11% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.6%, MDD -40.1%, exposure 69%.
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=43, k=3 |
4.8% | -20.8% | 0.65 | 0.23 | 2.3x | 14 | 11% |
| Donchian 채널 돌파 entryN=37, exitN=69 |
9.6% | -40.1% | 0.58 | 0.24 | 4.9x | 33 | 69% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=2.9 |
6.3% | -24.1% | 0.56 | 0.26 | 2.9x | 60 | 24% |
| ROC 모멘텀 n=141, threshold=0.2 |
6.7% | -40.1% | 0.54 | 0.17 | 3.1x | 39 | 16% |
| SMA 크로스오버 fast=62, slow=141 |
8.2% | -41.1% | 0.52 | 0.20 | 4.0x | 33 | 59% |
| ADX / DI 방향성 period=26, threshold=28 |
4.4% | -26.8% | 0.52 | 0.17 | 2.1x | 14 | 7% |
| EMA 크로스오버 fast=102, slow=164 |
6.8% | -40.1% | 0.45 | 0.17 | 3.2x | 17 | 56% |
| MACD fast=18, slow=38, signal=19 |
5.8% | -48.4% | 0.45 | 0.12 | 2.7x | 179 | 52% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.0% | -39.9% | 0.41 | 0.13 | 2.4x | 147 | 54% |
| Supertrend period=23, mult=4.1 |
4.4% | -48.0% | 0.36 | 0.09 | 2.1x | 84 | 51% |
| Buy and hold | 11.8% | -40.1% | 0.62 | 0.29 | 7.0x | 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 43-day average (3× volatility)
- Sell — Sell when the close falls back to the 43-day middle average