Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Securities ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Securities ETF. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.1%, MDD -24.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.3%, drawdown -68.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.6%, MDD -49.0%, Sharpe 0.43, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 4.1%, MDD -24.6%, exposure 11%).
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=47, slow=181 |
7.6% | -49.0% | 0.43 | 0.16 | 3.6x | 19 | 51% |
| EMA 크로스오버 fast=38, slow=252 |
6.7% | -49.0% | 0.40 | 0.14 | 3.1x | 17 | 46% |
| Donchian 채널 돌파 entryN=105, exitN=68 |
6.1% | -36.7% | 0.39 | 0.17 | 2.8x | 22 | 38% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=19, mult=3.7 |
3.6% | -25.6% | 0.36 | 0.14 | 1.9x | 36 | 10% |
| ADX / DI 방향성 period=36, threshold=20 |
4.1% | -24.6% | 0.35 | 0.17 | 2.0x | 20 | 11% |
| ROC 모멘텀 n=75, threshold=0.07 |
4.7% | -38.1% | 0.34 | 0.12 | 2.2x | 148 | 33% |
| 볼린저 밴드 돌파 n=25, k=1.8 |
2.2% | -44.9% | 0.22 | 0.05 | 1.5x | 134 | 29% |
| Supertrend period=9, mult=4.5 |
1.5% | -53.3% | 0.18 | 0.03 | 1.3x | 80 | 49% |
| MACD fast=24, slow=44, signal=19 |
1.6% | -54.2% | 0.18 | 0.03 | 1.3x | 154 | 51% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-4.0% | -70.4% | -0.09 | -0.06 | 0.5x | 228 | 50% |
| Buy and hold | 4.3% | -68.7% | 0.29 | 0.06 | 2.1x | 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 47-day average price crosses above the 181-day average
- Sell — Sell (to cash) when the 47-day average falls below the 181-day average