Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 코스피 backtest
10 trend-following strategies were compared on the full daily history of KODEX 코스피. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.2%, MDD -25.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.9%, drawdown -43.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.4%, MDD -12.6%, Sharpe 0.75, 18% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 11.3%, MDD -38.6%, exposure 26%.
Return/drawdown alternative: Supertrend — CAGR is 7.4%p lower than buy and hold, while drawdown improves by 30.8%p (CAGR 10.2%, MDD -25.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=2.2 |
5.4% | -12.6% | 0.75 | 0.43 | 1.8x | 70 | 18% |
| ROC 모멘텀 n=158, threshold=0.12 |
11.3% | -38.6% | 0.73 | 0.29 | 3.3x | 25 | 26% |
| Supertrend period=19, mult=4.8 |
10.2% | -25.5% | 0.73 | 0.40 | 2.9x | 38 | 54% |
| Donchian 채널 돌파 entryN=14, exitN=12 |
9.8% | -26.6% | 0.72 | 0.37 | 2.8x | 79 | 50% |
| EMA 크로스오버 fast=22, slow=117 |
10.7% | -38.6% | 0.65 | 0.28 | 3.1x | 25 | 60% |
| SMA 크로스오버 fast=22, slow=180 |
10.6% | -38.6% | 0.63 | 0.27 | 3.0x | 19 | 57% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=18, mult=2.6 |
7.6% | -26.3% | 0.63 | 0.29 | 2.2x | 50 | 33% |
| ADX / DI 방향성 period=38, threshold=15 |
7.5% | -21.1% | 0.60 | 0.36 | 2.2x | 56 | 24% |
| MACD fast=13, slow=46, signal=17 |
5.3% | -38.2% | 0.44 | 0.14 | 1.8x | 135 | 51% |
| Parabolic SAR step=0.02, maxStep=0.3 |
0.5% | -47.4% | 0.11 | 0.01 | 1.1x | 229 | 57% |
| Buy and hold | 12.9% | -43.3% | 0.66 | 0.30 | 3.8x | 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 12-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 12-day middle average