Trend-Following Backtester · Guide · backtest 한국어
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KODEX 단기채권PLUS backtest
10 trend-following strategies were compared on the full daily history of KODEX 단기채권PLUS. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.1%, drawdown -1.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -0.7%, Sharpe 2.85, 24% 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=2.8 |
0.7% | -0.7% | 2.85 | 1.02 | 1.1x | 2 | 24% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=12, mult=3.4 |
0.5% | -1.1% | 1.49 | 0.43 | 1.1x | 4 | 21% |
| ROC 모멘텀 n=102, threshold=0.01 |
0.6% | -2.6% | 1.44 | 0.21 | 1.1x | 6 | 23% |
| EMA 크로스오버 fast=20, slow=286 |
0.6% | -5.5% | 0.73 | 0.12 | 1.1x | 7 | 79% |
| Donchian 채널 돌파 entryN=38, exitN=76 |
0.6% | -6.2% | 0.57 | 0.09 | 1.1x | 11 | 86% |
| SMA 크로스오버 fast=10, slow=208 |
0.5% | -6.4% | 0.56 | 0.08 | 1.1x | 10 | 72% |
| Supertrend period=11, mult=5 |
-0.4% | -8.2% | -0.29 | -0.04 | 1.0x | 30 | 81% |
| ADX / DI 방향성 period=48, threshold=46 |
-0.4% | -5.2% | -0.53 | -0.08 | 1.0x | 12 | 16% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.6% | -19.1% | -1.18 | -0.08 | 0.8x | 59 | 68% |
| MACD fast=19, slow=45, signal=28 |
-3.0% | -29.9% | -2.00 | -0.10 | 0.7x | 79 | 52% |
| Buy and hold | 1.1% | -1.7% | 1.26 | 0.66 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 57-day middle average