Trend-Following Backtester · Guide · backtest 한국어
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Kiwoom KIWOOM 200 Total Return ETF Units backtest
10 trend-following strategies were compared on the full daily history of Kiwoom KIWOOM 200 Total Return ETF Units. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.2%, MDD -21.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.0%, drawdown -40.5%).
Sharpe leader (same as main): Supertrend — CAGR 18.2%, MDD -21.6%, Sharpe 1.02, 58% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 19.6%, MDD -26.5%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 19.0%p (CAGR 18.2%, MDD -21.6%, exposure 58%).
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=28, mult=5 |
18.2% | -21.6% | 1.02 | 0.85 | 4.1x | 24 | 58% |
| EMA 크로스오버 fast=5, slow=73 |
19.6% | -26.5% | 1.00 | 0.74 | 4.5x | 36 | 59% |
| Donchian 채널 돌파 entryN=79, exitN=44 |
17.3% | -27.1% | 0.92 | 0.64 | 3.8x | 12 | 46% |
| MACD fast=22, slow=64, signal=17 |
14.7% | -30.3% | 0.88 | 0.49 | 3.2x | 69 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=14, mult=2.5 |
14.2% | -31.4% | 0.85 | 0.45 | 3.0x | 38 | 40% |
| SMA 크로스오버 fast=35, slow=103 |
18.2% | -40.5% | 0.84 | 0.45 | 4.0x | 12 | 59% |
| 볼린저 밴드 돌파 n=46, k=3 |
9.2% | -20.1% | 0.83 | 0.46 | 2.1x | 4 | 10% |
| ROC 모멘텀 n=104, threshold=0.11 |
14.9% | -42.3% | 0.81 | 0.35 | 3.2x | 35 | 31% |
| ADX / DI 방향성 period=24, threshold=21 |
8.4% | -20.1% | 0.60 | 0.42 | 2.0x | 24 | 16% |
| Parabolic SAR step=0.035, maxStep=0.08 |
9.1% | -38.4% | 0.59 | 0.24 | 2.1x | 153 | 58% |
| Buy and hold | 18.0% | -40.5% | 0.76 | 0.44 | 4.0x | 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) — 28-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)