Trend-Following Backtester · Guide · backtest 한국어
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KB RISE KOSDAQ150 ETF Units backtest
10 trend-following strategies were compared on the full daily history of KB RISE KOSDAQ150 ETF Units. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -11.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -58.2%).
Sharpe leader (same as main): MACD — CAGR 8.0%, MDD -31.4%, Sharpe 0.52, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 2.9%, MDD -11.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=12, slow=22, signal=13 |
8.0% | -31.4% | 0.52 | 0.26 | 2.0x | 124 | 51% |
| ADX / DI 방향성 period=25, threshold=29 |
2.9% | -11.8% | 0.44 | 0.24 | 1.3x | 6 | 4% |
| SMA 크로스오버 fast=18, slow=34 |
6.8% | -31.9% | 0.43 | 0.21 | 1.8x | 66 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=3.9 |
4.9% | -22.9% | 0.40 | 0.21 | 1.5x | 18 | 24% |
| Supertrend period=38, mult=5 |
4.6% | -48.6% | 0.35 | 0.09 | 1.5x | 32 | 46% |
| Parabolic SAR step=0.01, maxStep=0.1 |
4.8% | -38.9% | 0.34 | 0.12 | 1.5x | 114 | 53% |
| ROC 모멘텀 n=80, threshold=0 |
4.9% | -39.9% | 0.34 | 0.12 | 1.6x | 78 | 51% |
| 볼린저 밴드 돌파 n=19, k=1.7 |
3.7% | -23.1% | 0.32 | 0.16 | 1.4x | 80 | 32% |
| EMA 크로스오버 fast=50, slow=68 |
4.3% | -40.1% | 0.31 | 0.11 | 1.5x | 26 | 52% |
| Donchian 채널 돌파 entryN=89, exitN=35 |
4.0% | -34.2% | 0.30 | 0.12 | 1.4x | 16 | 34% |
| Buy and hold | 1.8% | -58.2% | 0.22 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (12/22) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line