Trend-Following Backtester · Guide · backtest 한국어
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KIM ACE 200TotalReturn ETF backtest
10 trend-following strategies were compared on the full daily history of KIM ACE 200TotalReturn ETF. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 25.1%, MDD -21.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 25.2%, drawdown -40.8%).
Sharpe leader (same as main): Supertrend — CAGR 25.1%, MDD -21.4%, Sharpe 1.27, 61% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 28.3%, MDD -40.8%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 19.3%p (CAGR 25.1%, MDD -21.4%, exposure 61%).
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=5 |
25.1% | -21.4% | 1.27 | 1.17 | 4.9x | 20 | 61% |
| SMA 크로스오버 fast=73, slow=138 |
28.3% | -40.8% | 1.11 | 0.69 | 5.8x | 9 | 59% |
| EMA 크로스오버 fast=14, slow=43 |
23.0% | -29.0% | 1.07 | 0.80 | 4.4x | 27 | 64% |
| ROC 모멘텀 n=139, threshold=-0.05 |
26.7% | -40.8% | 1.06 | 0.66 | 5.4x | 19 | 66% |
| Donchian 채널 돌파 entryN=117, exitN=44 |
21.6% | -27.1% | 1.06 | 0.80 | 4.0x | 8 | 47% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=7, mult=2.5 |
17.8% | -27.8% | 1.02 | 0.64 | 3.2x | 34 | 42% |
| MACD fast=22, slow=58, signal=18 |
18.1% | -30.9% | 0.99 | 0.58 | 3.2x | 59 | 51% |
| 볼린저 밴드 돌파 n=47, k=3.1 |
11.0% | -20.0% | 0.91 | 0.55 | 2.1x | 4 | 12% |
| ADX / DI 방향성 period=38, threshold=18 |
15.1% | -24.4% | 0.89 | 0.62 | 2.7x | 14 | 22% |
| Parabolic SAR step=0.02, maxStep=0.24 |
14.4% | -31.7% | 0.75 | 0.45 | 2.6x | 137 | 60% |
| Buy and hold | 25.2% | -40.8% | 0.94 | 0.62 | 4.9x | 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, 5× band
- Sell — Sell when price drops below the trend line (flips down)