Trend-Following Backtester · Guide · backtest 한국어
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KIM ACE S&P500 ETF backtest
10 trend-following strategies were compared on the full daily history of KIM ACE S&P500 ETF. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.4%, MDD -12.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -19.3%).
Sharpe leader (same as main): Parabolic SAR — CAGR 14.0%, MDD -14.7%, Sharpe 1.38, 66% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.1%, MDD -21.2%, exposure 80%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 4.6%p (CAGR 13.4%, MDD -12.8%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.04 |
14.0% | -14.7% | 1.38 | 0.95 | 2.2x | 34 | 66% |
| Donchian 채널 돌파 entryN=21, exitN=23 |
14.6% | -15.6% | 1.35 | 0.94 | 2.3x | 22 | 73% |
| ROC 모멘텀 n=50, threshold=0.02 |
13.4% | -12.8% | 1.35 | 1.05 | 2.1x | 36 | 64% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=15, mult=2.2 |
12.7% | -17.1% | 1.32 | 0.74 | 2.0x | 26 | 62% |
| 볼린저 밴드 돌파 n=55, k=1.2 |
12.6% | -16.8% | 1.29 | 0.75 | 2.0x | 22 | 63% |
| EMA 크로스오버 fast=51, slow=57 |
15.1% | -21.2% | 1.26 | 0.71 | 2.3x | 9 | 80% |
| SMA 크로스오버 fast=15, slow=100 |
13.6% | -15.1% | 1.18 | 0.90 | 2.1x | 13 | 74% |
| Supertrend period=29, mult=3.7 |
12.5% | -15.9% | 1.13 | 0.79 | 2.0x | 38 | 73% |
| MACD fast=17, slow=47, signal=16 |
8.9% | -17.4% | 1.03 | 0.51 | 1.7x | 52 | 49% |
| ADX / DI 방향성 period=29, threshold=15 |
5.5% | -15.0% | 0.74 | 0.37 | 1.4x | 32 | 41% |
| Buy and hold | 17.6% | -19.3% | 1.16 | 0.91 | 2.6x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots