Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX Top5PlusTR backtest
10 trend-following strategies were compared on the full daily history of KODEX Top5PlusTR. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 23.7%, MDD -22.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 28.6%, drawdown -37.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.3%, MDD -35.2%, Sharpe 1.14, 62% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 1.9%p (CAGR 23.7%, MDD -22.9%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=19, slow=110 |
28.3% | -35.2% | 1.14 | 0.80 | 6.5x | 15 | 62% |
| ROC 모멘텀 n=83, threshold=0.1 |
25.6% | -35.2% | 1.14 | 0.73 | 5.6x | 43 | 41% |
| EMA 크로스오버 fast=13, slow=44 |
26.0% | -29.2% | 1.13 | 0.89 | 5.7x | 28 | 64% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=29, mult=3 |
23.7% | -22.9% | 1.11 | 1.04 | 5.0x | 22 | 48% |
| Supertrend period=19, mult=4.6 |
22.5% | -22.7% | 1.08 | 0.99 | 4.6x | 28 | 64% |
| Donchian 채널 돌파 entryN=112, exitN=65 |
23.7% | -35.2% | 1.03 | 0.67 | 5.0x | 9 | 52% |
| ADX / DI 방향성 period=39, threshold=13 |
20.7% | -23.6% | 1.03 | 0.88 | 4.1x | 36 | 40% |
| 볼린저 밴드 돌파 n=49, k=3.3 |
12.8% | -20.5% | 0.96 | 0.63 | 2.5x | 6 | 14% |
| MACD fast=18, slow=40, signal=13 |
17.6% | -36.1% | 0.96 | 0.49 | 3.4x | 90 | 51% |
| Parabolic SAR step=0.02, maxStep=0.14 |
8.5% | -51.8% | 0.52 | 0.16 | 1.8x | 148 | 59% |
| Buy and hold | 28.6% | -37.1% | 1.03 | 0.77 | 6.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 19-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 19-day average falls below the 110-day average