Trend-Following Backtester · Guide · backtest 한국어
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SAMSUNG KODEX WTI Crude Oil Futures Inverse ETF(H) backtest
10 trend-following strategies were compared on the full daily history of SAMSUNG KODEX WTI Crude Oil Futures Inverse ETF(H). 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.6%, MDD -8.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -21.8%, drawdown -95.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.5%, MDD -32.3%, Sharpe 0.38, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.4%p higher than buy and hold, while drawdown improves by 62.9%p (CAGR 1.6%, MDD -8.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=30, threshold=0.23 |
6.5% | -32.3% | 0.38 | 0.20 | 1.8x | 12 | 4% |
| ADX / DI 방향성 period=17, threshold=35 |
1.6% | -8.8% | 0.32 | 0.19 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=15, exitN=34 |
-2.7% | -69.4% | 0.10 | -0.04 | 0.8x | 47 | 54% |
| SMA 크로스오버 fast=33, slow=112 |
-3.5% | -72.2% | 0.05 | -0.05 | 0.7x | 20 | 32% |
| Supertrend period=7, mult=5 |
-4.0% | -75.6% | 0.05 | -0.05 | 0.7x | 48 | 41% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=34, mult=3.9 |
-2.0% | -64.5% | 0.04 | -0.03 | 0.8x | 18 | 6% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
-4.9% | -74.9% | -0.04 | -0.07 | 0.6x | 22 | 11% |
| EMA 크로스오버 fast=51, slow=53 |
-6.1% | -73.4% | -0.04 | -0.08 | 0.6x | 24 | 31% |
| MACD fast=13, slow=55, signal=21 |
-10.1% | -83.2% | -0.15 | -0.12 | 0.4x | 100 | 48% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-9.5% | -86.1% | -0.15 | -0.11 | 0.4x | 102 | 41% |
| Buy and hold | -21.8% | -95.2% | -0.35 | -0.23 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 30-day return is greater than 23%
- Sell — Sell when the 30-day return drops to 23% or below