Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 단기채권 backtest
10 trend-following strategies were compared on the full daily history of KODEX 단기채권. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.8%, drawdown -2.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.7%, MDD -3.9%, Sharpe 0.47, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=96, threshold=-0.02 |
0.7% | -3.9% | 0.47 | 0.17 | 1.1x | 3 | 97% |
| 볼린저 밴드 돌파 n=89, k=2.5 |
0.3% | -4.3% | 0.43 | 0.08 | 1.1x | 4 | 27% |
| Donchian 채널 돌파 entryN=40, exitN=65 |
0.4% | -7.7% | 0.25 | 0.05 | 1.1x | 11 | 89% |
| SMA 크로스오버 fast=43, slow=68 |
-0.1% | -12.0% | -0.05 | -0.01 | 1.0x | 19 | 80% |
| EMA 크로스오버 fast=56, slow=67 |
-0.1% | -13.6% | -0.07 | -0.01 | 1.0x | 16 | 73% |
| Keltner 채널 돌파 emaPeriod=79, atrPeriod=23, mult=3.1 |
-0.1% | -13.0% | -0.09 | -0.01 | 1.0x | 18 | 75% |
| ADX / DI 방향성 period=21, threshold=42 |
-0.3% | -9.5% | -0.27 | -0.03 | 1.0x | 24 | 54% |
| Supertrend period=6, mult=5 |
-0.6% | -13.9% | -0.34 | -0.04 | 0.9x | 34 | 83% |
| Parabolic SAR step=0.01, maxStep=0.02 |
-0.8% | -16.6% | -0.50 | -0.05 | 0.9x | 36 | 72% |
| MACD fast=48, slow=59, signal=52 |
-1.0% | -14.1% | -0.81 | -0.07 | 0.9x | 46 | 57% |
| Buy and hold | 0.8% | -2.9% | 0.59 | 0.28 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 96-day return is greater than -2%
- Sell — Sell when the 96-day return drops to -2% or below