Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX KOSPI ETF Units backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX KOSPI ETF Units. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.3%, MDD -25.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -43.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.2%, MDD -26.6%, Sharpe 0.76, 50% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 11.5%, MDD -38.6%, exposure 61%.
Return/drawdown alternative: Supertrend — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 16.7%p (CAGR 10.3%, MDD -25.5%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=12 |
10.2% | -26.6% | 0.76 | 0.38 | 2.9x | 78 | 50% |
| 볼린저 밴드 돌파 n=12, k=2.2 |
5.5% | -12.6% | 0.75 | 0.44 | 1.8x | 70 | 18% |
| ROC 모멘텀 n=158, threshold=0.12 |
11.1% | -38.6% | 0.74 | 0.29 | 3.2x | 25 | 26% |
| Supertrend period=19, mult=4.8 |
10.3% | -25.5% | 0.74 | 0.40 | 2.9x | 38 | 55% |
| EMA 크로스오버 fast=22, slow=117 |
11.5% | -38.6% | 0.69 | 0.30 | 3.3x | 23 | 61% |
| SMA 크로스오버 fast=22, slow=180 |
10.3% | -38.6% | 0.63 | 0.27 | 2.9x | 19 | 57% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=18, mult=2.6 |
7.7% | -26.3% | 0.63 | 0.29 | 2.2x | 50 | 33% |
| ADX / DI 방향성 period=38, threshold=15 |
7.6% | -21.1% | 0.61 | 0.36 | 2.2x | 56 | 24% |
| MACD fast=13, slow=46, signal=17 |
5.6% | -38.2% | 0.46 | 0.15 | 1.8x | 134 | 51% |
| Parabolic SAR step=0.02, maxStep=0.3 |
0.2% | -47.4% | 0.09 | 0.00 | 1.0x | 228 | 57% |
| Buy and hold | 12.7% | -43.3% | 0.66 | 0.29 | 3.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 12 days