Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 코스닥150 backtest
10 trend-following strategies were compared on the full daily history of KODEX 코스닥150. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.9%, MDD -22.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.6%, drawdown -57.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -27.2%, Sharpe 0.47, 31% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.9%, MDD -31.9%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 5.9%, MDD -22.9%, exposure 23%).
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=96, exitN=39 |
6.7% | -27.2% | 0.47 | 0.25 | 2.0x | 16 | 31% |
| 볼린저 밴드 돌파 n=76, k=2.3 |
5.9% | -22.9% | 0.46 | 0.26 | 1.9x | 14 | 23% |
| EMA 크로스오버 fast=32, slow=157 |
6.9% | -31.9% | 0.43 | 0.22 | 2.1x | 14 | 48% |
| MACD fast=7, slow=42, signal=13 |
5.2% | -32.2% | 0.38 | 0.16 | 1.7x | 169 | 51% |
| SMA 크로스오버 fast=7, slow=186 |
5.7% | -32.0% | 0.38 | 0.18 | 1.8x | 30 | 47% |
| ADX / DI 방향성 period=38, threshold=23 |
2.1% | -14.2% | 0.35 | 0.15 | 1.3x | 6 | 3% |
| ROC 모멘텀 n=97, threshold=0 |
4.8% | -34.9% | 0.34 | 0.14 | 1.7x | 90 | 49% |
| Supertrend period=20, mult=4.8 |
-0.5% | -47.7% | 0.07 | -0.01 | 1.0x | 40 | 45% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-0.7% | -45.3% | 0.06 | -0.01 | 0.9x | 147 | 54% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=11, mult=1.4 |
-0.6% | -32.9% | 0.03 | -0.02 | 0.9x | 96 | 32% |
| Buy and hold | 2.6% | -57.9% | 0.24 | 0.05 | 1.3x | 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 96 days
- Sell — Sell when price breaks below the lowest low of the last 39 days