Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 코스닥150레버리지 backtest
10 trend-following strategies were compared on the full daily history of KODEX 코스닥150레버리지. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.8%, MDD -22.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.3%, drawdown -86.0%).
Sharpe leader (same as main): MACD — CAGR 18.2%, MDD -63.0%, Sharpe 0.66, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.5%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 3.8%, MDD -22.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=17, slow=27, signal=9 |
18.2% | -63.0% | 0.66 | 0.29 | 6.0x | 141 | 51% |
| Keltner 채널 돌파 emaPeriod=84, atrPeriod=10, mult=3.1 |
15.5% | -36.9% | 0.64 | 0.42 | 4.7x | 20 | 29% |
| Donchian 채널 돌파 entryN=91, exitN=60 |
12.3% | -43.4% | 0.51 | 0.28 | 3.5x | 12 | 37% |
| EMA 크로스오버 fast=33, slow=136 |
12.4% | -59.4% | 0.51 | 0.21 | 3.5x | 16 | 43% |
| 볼린저 밴드 돌파 n=13, k=2.4 |
7.6% | -33.9% | 0.49 | 0.22 | 2.2x | 40 | 11% |
| ROC 모멘텀 n=87, threshold=0.07 |
11.2% | -47.9% | 0.48 | 0.23 | 3.1x | 84 | 39% |
| SMA 크로스오버 fast=18, slow=187 |
11.2% | -57.7% | 0.48 | 0.19 | 3.1x | 20 | 45% |
| ADX / DI 방향성 period=33, threshold=28 |
3.8% | -22.9% | 0.40 | 0.17 | 1.5x | 8 | 2% |
| Supertrend period=9, mult=3.1 |
3.9% | -58.3% | 0.28 | 0.07 | 1.5x | 77 | 43% |
| Parabolic SAR step=0.045, maxStep=0.08 |
2.4% | -71.4% | 0.25 | 0.03 | 1.3x | 194 | 53% |
| Buy and hold | -3.3% | -86.0% | 0.25 | -0.04 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (17/27) crosses above its 9-day signal line
- Sell — Sell when the MACD line crosses back below the signal line