Trend-Following Backtester · Guide · backtest 한국어
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SAMSUNG KODEX 200 Futures Inverse 2x ETF backtest
10 trend-following strategies were compared on the full daily history of SAMSUNG KODEX 200 Futures Inverse 2x ETF. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR -1.3%, MDD -49.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -38.5%, drawdown -99.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.1%, MDD -50.9%, Sharpe 0.17, 34% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 39.6%p higher than buy and hold, while drawdown improves by 48.6%p (CAGR -1.3%, MDD -49.7%, exposure 28%).
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=24, slow=102 |
1.1% | -50.9% | 0.17 | 0.02 | 1.1x | 16 | 34% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=21, mult=1 |
-1.3% | -49.7% | 0.07 | -0.03 | 0.9x | 50 | 28% |
| ROC 모멘텀 n=77, threshold=-0.02 |
-2.3% | -58.1% | 0.04 | -0.04 | 0.8x | 72 | 39% |
| EMA 크로스오버 fast=24, slow=66 |
-2.7% | -58.4% | 0.01 | -0.05 | 0.8x | 20 | 34% |
| Supertrend period=18, mult=4.9 |
-5.7% | -72.0% | -0.05 | -0.08 | 0.6x | 29 | 37% |
| 볼린저 밴드 돌파 n=38, k=3.2 |
-2.9% | -54.5% | -0.07 | -0.05 | 0.8x | 20 | 13% |
| Donchian 채널 돌파 entryN=75, exitN=46 |
-4.9% | -60.0% | -0.09 | -0.08 | 0.6x | 16 | 35% |
| ADX / DI 방향성 period=36, threshold=14 |
-6.2% | -59.2% | -0.09 | -0.10 | 0.5x | 37 | 27% |
| Parabolic SAR step=0.035, maxStep=0.06 |
-10.6% | -77.6% | -0.16 | -0.14 | 0.3x | 143 | 36% |
| MACD fast=12, slow=23, signal=8 |
-22.2% | -95.3% | -0.37 | -0.23 | 0.1x | 181 | 51% |
| Buy and hold | -38.5% | -99.5% | -0.73 | -0.39 | 0.0x | 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 24-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 24-day average falls below the 102-day average