Trend-Following Backtester · Guide · backtest 한국어
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KB RISE 200 Total Return ETF backtest
10 trend-following strategies were compared on the full daily history of KB RISE 200 Total Return ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.1%, MDD -20.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.7%, drawdown -40.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.1%, MDD -20.8%, Sharpe 1.16, 28% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 24.0%, MDD -28.9%, exposure 61%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p lower than buy and hold, while drawdown improves by 19.9%p (CAGR 23.1%, MDD -20.8%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=17 |
23.1% | -20.8% | 1.16 | 1.11 | 3.6x | 10 | 28% |
| Supertrend period=27, mult=5 |
21.6% | -21.5% | 1.11 | 1.00 | 3.3x | 18 | 56% |
| EMA 크로스오버 fast=9, slow=49 |
24.0% | -28.9% | 1.09 | 0.83 | 3.7x | 31 | 61% |
| 볼린저 밴드 돌파 n=20, k=1.9 |
16.3% | -24.2% | 1.07 | 0.67 | 2.5x | 40 | 31% |
| Donchian 채널 돌파 entryN=54, exitN=45 |
23.2% | -27.0% | 1.06 | 0.86 | 3.6x | 10 | 53% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=11, mult=1.6 |
20.6% | -27.8% | 1.05 | 0.74 | 3.1x | 36 | 47% |
| SMA 크로스오버 fast=18, slow=78 |
22.0% | -29.9% | 0.98 | 0.74 | 3.4x | 14 | 60% |
| ROC 모멘텀 n=64, threshold=0.12 |
19.6% | -29.9% | 0.97 | 0.66 | 3.0x | 22 | 25% |
| MACD fast=17, slow=34, signal=23 |
16.4% | -29.3% | 0.91 | 0.56 | 2.5x | 57 | 52% |
| Parabolic SAR step=0.045, maxStep=0.06 |
11.5% | -43.2% | 0.66 | 0.27 | 1.9x | 91 | 61% |
| Buy and hold | 25.7% | -40.7% | 0.96 | 0.63 | 4.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)