Trend-Following Backtester · Guide · backtest 한국어
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KB RISE KTB 10Y Futures Inverse ETF backtest
10 trend-following strategies were compared on the full daily history of KB RISE KTB 10Y Futures Inverse ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 2.2%, drawdown -11.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.9%, MDD -10.5%, Sharpe 0.50, 93% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=143, threshold=-0.07 |
2.9% | -10.5% | 0.50 | 0.28 | 1.3x | 3 | 93% |
| EMA 크로스오버 fast=50, slow=210 |
2.2% | -11.6% | 0.44 | 0.19 | 1.2x | 9 | 57% |
| Donchian 채널 돌파 entryN=33, exitN=79 |
1.8% | -13.6% | 0.37 | 0.14 | 1.2x | 13 | 68% |
| SMA 크로스오버 fast=54, slow=213 |
1.6% | -13.0% | 0.35 | 0.12 | 1.1x | 9 | 50% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=10, mult=4 |
0.6% | -8.7% | 0.16 | 0.06 | 1.0x | 21 | 35% |
| 볼린저 밴드 돌파 n=37, k=3 |
0.4% | -4.8% | 0.14 | 0.08 | 1.0x | 12 | 12% |
| Supertrend period=25, mult=4.5 |
-0.2% | -13.9% | -0.02 | -0.02 | 1.0x | 39 | 57% |
| ADX / DI 방향성 period=36, threshold=12 |
-0.5% | -15.7% | -0.10 | -0.03 | 1.0x | 41 | 37% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-1.9% | -16.8% | -0.36 | -0.11 | 0.9x | 63 | 53% |
| MACD fast=20, slow=58, signal=19 |
-2.6% | -19.7% | -0.52 | -0.13 | 0.8x | 73 | 50% |
| Buy and hold | 2.2% | -11.4% | 0.39 | 0.20 | 1.2x | 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 143-day return is greater than -7%
- Sell — Sell when the 143-day return drops to -7% or below