Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Silver Futures Special Asset ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Silver Futures Special Asset ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -38.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.5%, drawdown -76.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.9%, MDD -39.3%, Sharpe 0.38, 18% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 2.9%, MDD -38.2%, exposure 10%).
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=37, k=2.8 |
4.9% | -39.3% | 0.38 | 0.12 | 2.0x | 40 | 18% |
| SMA 크로스오버 fast=39, slow=146 |
4.1% | -49.3% | 0.30 | 0.08 | 1.8x | 28 | 44% |
| Supertrend period=15, mult=4.3 |
3.5% | -47.6% | 0.28 | 0.07 | 1.7x | 90 | 41% |
| ADX / DI 방향성 period=25, threshold=21 |
2.9% | -38.2% | 0.27 | 0.08 | 1.5x | 30 | 10% |
| Donchian 채널 돌파 entryN=114, exitN=25 |
2.6% | -41.3% | 0.25 | 0.06 | 1.5x | 24 | 16% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=1.6 |
2.0% | -48.4% | 0.21 | 0.04 | 1.3x | 104 | 33% |
| ROC 모멘텀 n=93, threshold=0.13 |
1.8% | -49.3% | 0.20 | 0.04 | 1.3x | 80 | 18% |
| EMA 크로스오버 fast=43, slow=101 |
1.6% | -53.2% | 0.19 | 0.03 | 1.3x | 30 | 43% |
| MACD fast=12, slow=49, signal=12 |
0.7% | -49.4% | 0.15 | 0.02 | 1.1x | 199 | 50% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-1.2% | -71.8% | 0.05 | -0.02 | 0.8x | 169 | 48% |
| Buy and hold | -0.5% | -76.6% | 0.15 | -0.01 | 0.9x | 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 37-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 37-day middle average