Trend-Following Backtester · Guide · backtest 한국어
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SAMSUNG KODEX AI Semiconductor TOP2 Plus ETF Units backtest
10 trend-following strategies were compared on the full daily history of SAMSUNG KODEX AI Semiconductor TOP2 Plus ETF Units. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 36.4%, MDD -29.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 31.2%, drawdown -53.7%).
Sharpe leader (same as main): MACD — CAGR 36.4%, MDD -29.4%, Sharpe 1.25, 54% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 40.4%, MDD -53.7%, exposure 53%.
Return/drawdown alternative: MACD — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 36.4%, MDD -29.4%, exposure 54%).
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=11, slow=34, signal=21 |
36.4% | -29.4% | 1.25 | 1.24 | 4.8x | 51 | 54% |
| Donchian 채널 돌파 entryN=34, exitN=29 |
37.1% | -30.6% | 1.19 | 1.21 | 5.0x | 16 | 57% |
| Supertrend period=13, mult=4.8 |
35.9% | -30.6% | 1.15 | 1.17 | 4.8x | 16 | 60% |
| SMA 크로스오버 fast=20, slow=211 |
40.4% | -53.7% | 1.11 | 0.75 | 5.6x | 3 | 53% |
| EMA 크로스오버 fast=30, slow=161 |
39.8% | -53.7% | 1.10 | 0.74 | 5.5x | 3 | 53% |
| ADX / DI 방향성 period=33, threshold=18 |
29.2% | -25.9% | 1.09 | 1.13 | 3.7x | 16 | 28% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=0.9 |
31.6% | -30.6% | 1.07 | 1.03 | 4.0x | 36 | 55% |
| ROC 모멘텀 n=117, threshold=0 |
37.8% | -53.7% | 1.06 | 0.70 | 5.1x | 23 | 58% |
| 볼린저 밴드 돌파 n=35, k=1.7 |
27.0% | -22.0% | 1.02 | 1.23 | 3.4x | 32 | 40% |
| Parabolic SAR step=0.03, maxStep=0.08 |
21.1% | -31.9% | 0.85 | 0.66 | 2.7x | 87 | 57% |
| Buy and hold | 31.2% | -53.7% | 0.87 | 0.58 | 4.0x | 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 (11/34) crosses above its 21-day signal line
- Sell — Sell when the MACD line crosses back below the signal line