Trend-Following Backtester · Guide · backtest 한국어
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KB RISE KOSPI ETF Units backtest
10 trend-following strategies were compared on the full daily history of KB RISE KOSPI ETF Units. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.5%, MDD -19.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 14.6%, drawdown -38.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.5%, MDD -19.9%, Sharpe 0.95, 41% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 16.5%, MDD -25.3%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 18.9%p (CAGR 14.5%, MDD -19.9%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=11 |
14.5% | -19.9% | 0.95 | 0.73 | 3.0x | 52 | 41% |
| EMA 크로스오버 fast=5, slow=93 |
16.5% | -25.3% | 0.90 | 0.65 | 3.4x | 34 | 59% |
| SMA 크로스오버 fast=6, slow=78 |
15.7% | -25.9% | 0.87 | 0.60 | 3.2x | 36 | 60% |
| Supertrend period=23, mult=4.9 |
13.9% | -21.0% | 0.87 | 0.66 | 2.8x | 34 | 55% |
| ROC 모멘텀 n=145, threshold=0.12 |
14.2% | -38.7% | 0.80 | 0.37 | 2.9x | 21 | 28% |
| 볼린저 밴드 돌파 n=20, k=1.3 |
10.9% | -22.6% | 0.80 | 0.48 | 2.3x | 78 | 42% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=15, mult=1.9 |
10.3% | -24.7% | 0.79 | 0.42 | 2.2x | 50 | 32% |
| MACD fast=11, slow=57, signal=18 |
11.8% | -39.5% | 0.79 | 0.30 | 2.4x | 86 | 52% |
| ADX / DI 방향성 period=33, threshold=7 |
10.9% | -33.3% | 0.70 | 0.33 | 2.3x | 88 | 50% |
| Parabolic SAR step=0.03, maxStep=0.1 |
5.3% | -43.3% | 0.42 | 0.12 | 1.5x | 150 | 57% |
| Buy and hold | 14.6% | -38.7% | 0.68 | 0.38 | 3.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 11 days