Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX BIO ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX BIO ETF. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.2%, MDD -37.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.3%, drawdown -61.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 9.7%, MDD -44.5%, Sharpe 0.57, 49% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 13.0%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 7.2%, MDD -37.8%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.18 |
9.7% | -44.5% | 0.57 | 0.22 | 2.6x | 74 | 49% |
| ROC 모멘텀 n=155, threshold=0.11 |
7.2% | -37.8% | 0.47 | 0.19 | 2.0x | 56 | 29% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=30, mult=1.2 |
4.3% | -45.5% | 0.35 | 0.09 | 1.5x | 118 | 31% |
| SMA 크로스오버 fast=58, slow=162 |
4.9% | -56.5% | 0.33 | 0.09 | 1.6x | 16 | 49% |
| Supertrend period=6, mult=3.4 |
3.8% | -51.1% | 0.29 | 0.07 | 1.5x | 62 | 46% |
| EMA 크로스오버 fast=14, slow=32 |
2.9% | -54.4% | 0.24 | 0.05 | 1.3x | 62 | 49% |
| 볼린저 밴드 돌파 n=13, k=1.7 |
2.1% | -43.0% | 0.21 | 0.05 | 1.2x | 130 | 31% |
| Donchian 채널 돌파 entryN=107, exitN=65 |
1.1% | -59.2% | 0.16 | 0.02 | 1.1x | 16 | 39% |
| ADX / DI 방향성 period=10, threshold=18 |
-0.0% | -45.8% | 0.09 | -0.00 | 1.0x | 182 | 36% |
| MACD fast=13, slow=50, signal=13 |
-2.5% | -53.7% | -0.02 | -0.05 | 0.8x | 128 | 49% |
| Buy and hold | -3.3% | -61.3% | 0.07 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots