Trend-Following Backtester · Guide · backtest 한국어
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Samsung KODEX Secondary Battery Industry ETF backtest
10 trend-following strategies were compared on the full daily history of Samsung KODEX Secondary Battery Industry ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.6%, MDD -31.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.8%, drawdown -74.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 16.1%, MDD -60.5%, Sharpe 0.82, 39% exposure.
CAGR reference leader: MACD — CAGR 16.8%, MDD -56.4%, exposure 51%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 14.0%p (CAGR 14.6%, MDD -31.8%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=21, k=1.4 |
16.1% | -60.5% | 0.82 | 0.27 | 3.3x | 73 | 39% |
| MACD fast=18, slow=54, signal=8 |
16.8% | -56.4% | 0.76 | 0.30 | 3.4x | 91 | 51% |
| SMA 크로스오버 fast=3, slow=161 |
16.2% | -35.9% | 0.73 | 0.45 | 3.3x | 18 | 47% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=0.9 |
13.2% | -55.2% | 0.70 | 0.24 | 2.7x | 97 | 39% |
| ADX / DI 방향성 period=10, threshold=17 |
14.2% | -55.5% | 0.69 | 0.26 | 2.9x | 148 | 44% |
| Donchian 채널 돌파 entryN=52, exitN=66 |
15.4% | -34.1% | 0.69 | 0.45 | 3.1x | 10 | 52% |
| EMA 크로스오버 fast=9, slow=138 |
14.6% | -31.8% | 0.67 | 0.46 | 3.0x | 16 | 45% |
| ROC 모멘텀 n=149, threshold=0.09 |
13.7% | -38.2% | 0.67 | 0.36 | 2.8x | 32 | 39% |
| Supertrend period=20, mult=2 |
10.8% | -51.7% | 0.56 | 0.21 | 2.3x | 103 | 50% |
| Parabolic SAR step=0.03, maxStep=0.16 |
11.3% | -39.5% | 0.55 | 0.29 | 2.3x | 199 | 54% |
| Buy and hold | 5.8% | -74.4% | 0.35 | 0.08 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 21-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 21-day middle average