Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX 200 US Treasury notes Balanced 50 ETF Units backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX 200 US Treasury notes Balanced 50 ETF Units. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.2%, MDD -8.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.0%, drawdown -25.3%).
Sharpe leader (same as main): Supertrend — CAGR 9.2%, MDD -10.8%, Sharpe 1.26, 60% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 14.5%p (CAGR 8.2%, MDD -8.9%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=3.4 |
9.2% | -10.8% | 1.26 | 0.85 | 2.2x | 28 | 60% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=11, mult=2.2 |
8.2% | -8.9% | 1.16 | 0.91 | 2.0x | 24 | 43% |
| Donchian 채널 돌파 entryN=36, exitN=14 |
7.6% | -9.9% | 1.09 | 0.77 | 1.9x | 32 | 48% |
| EMA 크로스오버 fast=19, slow=39 |
8.4% | -15.1% | 1.05 | 0.56 | 2.0x | 28 | 60% |
| 볼린저 밴드 돌파 n=42, k=1.5 |
7.0% | -11.6% | 1.02 | 0.60 | 1.8x | 40 | 47% |
| ROC 모멘텀 Hold-like · Exposure 97% n=31, threshold=-0.08 |
8.4% | -19.1% | 0.92 | 0.44 | 2.0x | 7 | 97% |
| SMA 크로스오버 fast=26, slow=171 |
8.0% | -25.3% | 0.82 | 0.32 | 2.0x | 8 | 63% |
| ADX / DI 방향성 period=29, threshold=27 |
2.4% | -7.9% | 0.69 | 0.30 | 1.2x | 8 | 9% |
| MACD fast=18, slow=51, signal=27 |
4.3% | -13.2% | 0.65 | 0.32 | 1.4x | 69 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
2.6% | -18.3% | 0.38 | 0.14 | 1.3x | 77 | 57% |
| Buy and hold | 8.0% | -25.3% | 0.76 | 0.32 | 2.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)