Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 삼성그룹 backtest
10 trend-following strategies were compared on the full daily history of KODEX 삼성그룹. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -40.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -40.1%, Sharpe 0.58, 69% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=39, exitN=69 |
9.6% | -40.1% | 0.58 | 0.24 | 4.9x | 33 | 69% |
| 볼린저 밴드 돌파 n=42, k=2.4 |
6.2% | -23.3% | 0.57 | 0.26 | 2.8x | 46 | 23% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=3 |
5.6% | -25.2% | 0.52 | 0.22 | 2.6x | 58 | 24% |
| ADX / DI 방향성 period=50, threshold=16 |
5.2% | -25.3% | 0.51 | 0.21 | 2.4x | 30 | 11% |
| SMA 크로스오버 fast=58, slow=163 |
7.3% | -44.6% | 0.48 | 0.16 | 3.4x | 29 | 56% |
| Parabolic SAR step=0.005, maxStep=0.22 |
5.2% | -39.9% | 0.42 | 0.13 | 2.4x | 147 | 54% |
| ROC 모멘텀 n=148, threshold=0.07 |
5.3% | -40.1% | 0.41 | 0.13 | 2.5x | 129 | 36% |
| EMA 크로스오버 fast=53, slow=64 |
5.8% | -42.9% | 0.40 | 0.13 | 2.7x | 39 | 61% |
| Supertrend period=28, mult=4.1 |
4.7% | -48.1% | 0.38 | 0.10 | 2.2x | 84 | 52% |
| MACD fast=19, slow=50, signal=15 |
4.7% | -55.7% | 0.38 | 0.08 | 2.2x | 185 | 51% |
| Buy and hold | 12.0% | -40.1% | 0.62 | 0.30 | 7.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 39 days
- Sell — Sell when price breaks below the lowest low of the last 69 days