Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 종합채권(AA-이상)액티브 backtest
10 trend-following strategies were compared on the full daily history of KODEX 종합채권(AA-이상)액티브. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 1.8%, MDD -3.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.0%, drawdown -13.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.8%, MDD -3.8%, Sharpe 1.04, 45% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.1%, MDD -4.1%, exposure 60%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 9.4%p (CAGR 1.8%, MDD -3.8%, exposure 45%).
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=104, exitN=57 |
1.8% | -3.8% | 1.04 | 0.48 | 1.2x | 6 | 45% |
| SMA 크로스오버 fast=8, slow=187 |
2.1% | -4.1% | 0.93 | 0.50 | 1.2x | 8 | 60% |
| EMA 크로스오버 fast=17, slow=154 |
1.9% | -4.3% | 0.83 | 0.44 | 1.2x | 8 | 62% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=4 |
1.2% | -4.3% | 0.77 | 0.28 | 1.1x | 10 | 32% |
| ROC 모멘텀 n=147, threshold=-0.03 |
1.8% | -5.9% | 0.72 | 0.31 | 1.2x | 10 | 78% |
| 볼린저 밴드 돌파 n=54, k=2.7 |
0.7% | -5.7% | 0.55 | 0.13 | 1.1x | 10 | 26% |
| Supertrend period=25, mult=4.9 |
0.7% | -7.5% | 0.32 | 0.09 | 1.1x | 26 | 53% |
| ADX / DI 방향성 period=33, threshold=15 |
0.1% | -16.6% | 0.07 | 0.01 | 1.0x | 30 | 47% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-2.7% | -22.3% | -1.08 | -0.12 | 0.8x | 74 | 54% |
| MACD fast=11, slow=70, signal=23 |
-2.9% | -23.9% | -1.19 | -0.12 | 0.8x | 79 | 46% |
| Buy and hold | 1.0% | -13.2% | 0.35 | 0.08 | 1.1x | 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 104 days
- Sell — Sell when price breaks below the lowest low of the last 57 days