Trend-Following Backtester · Guide · backtest 한국어
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KB RISE S&P500 ETF backtest
10 trend-following strategies were compared on the full daily history of KB RISE S&P500 ETF. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.4%, MDD -12.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -19.6%).
Sharpe leader (same as main): MACD — CAGR 11.9%, MDD -13.8%, Sharpe 1.38, 47% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.4%, MDD -12.0%, exposure 65%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.8%p lower than buy and hold, while drawdown improves by 5.8%p (CAGR 13.4%, MDD -12.0%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=23, slow=52, signal=20 |
11.9% | -13.8% | 1.38 | 0.86 | 1.8x | 37 | 47% |
| SMA 크로스오버 fast=12, slow=30 |
13.4% | -12.0% | 1.35 | 1.12 | 2.0x | 32 | 65% |
| EMA 크로스오버 fast=14, slow=22 |
12.7% | -19.4% | 1.19 | 0.65 | 1.9x | 30 | 69% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
10.2% | -10.5% | 1.17 | 0.97 | 1.7x | 18 | 52% |
| Parabolic SAR step=0.02, maxStep=0.02 |
12.6% | -17.2% | 1.16 | 0.74 | 1.9x | 24 | 72% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=12, mult=3.6 |
7.0% | -7.2% | 1.13 | 0.97 | 1.4x | 18 | 30% |
| Donchian 채널 돌파 entryN=22, exitN=27 |
12.3% | -18.6% | 1.13 | 0.66 | 1.9x | 20 | 72% |
| ROC 모멘텀 n=51, threshold=0.02 |
10.4% | -12.7% | 1.09 | 0.82 | 1.7x | 38 | 60% |
| Supertrend period=8, mult=4.8 |
10.9% | -20.9% | 1.07 | 0.52 | 1.8x | 22 | 70% |
| ADX / DI 방향성 period=25, threshold=20 |
7.5% | -11.0% | 1.03 | 0.68 | 1.5x | 20 | 40% |
| Buy and hold | 15.7% | -19.6% | 1.05 | 0.80 | 2.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (23/52) crosses above its 20-day signal line
- Sell — Sell when the MACD line crosses back below the signal line