Trend-Following Backtester · Guide · backtest 한국어
equity · KR
KODEX 미국S&P500 backtest
10 trend-following strategies were compared on the full daily history of KODEX 미국S&P500. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.7%, drawdown -19.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -16.1%, Sharpe 1.35, 70% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=7, slow=48 |
14.6% | -16.1% | 1.35 | 0.91 | 2.1x | 22 | 70% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
12.0% | -13.8% | 1.28 | 0.87 | 1.8x | 18 | 57% |
| Donchian 채널 돌파 entryN=22, exitN=24 |
12.7% | -15.2% | 1.20 | 0.84 | 1.9x | 22 | 70% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=22, mult=1.4 |
11.2% | -19.1% | 1.15 | 0.58 | 1.8x | 36 | 63% |
| MACD fast=20, slow=49, signal=13 |
9.9% | -18.0% | 1.13 | 0.55 | 1.7x | 44 | 48% |
| ROC 모멘텀 n=37, threshold=-0.03 |
12.9% | -22.1% | 1.09 | 0.59 | 1.9x | 42 | 82% |
| Supertrend period=24, mult=3.7 |
11.1% | -16.1% | 1.05 | 0.69 | 1.7x | 36 | 69% |
| EMA 크로스오버 fast=27, slow=83 |
11.8% | -23.5% | 1.00 | 0.50 | 1.8x | 9 | 78% |
| Parabolic SAR step=0.005, maxStep=0.08 |
9.8% | -18.8% | 0.99 | 0.52 | 1.6x | 44 | 67% |
| ADX / DI 방향성 period=17, threshold=17 |
6.4% | -17.6% | 0.75 | 0.36 | 1.4x | 48 | 54% |
| Buy and hold | 17.7% | -19.2% | 1.15 | 0.92 | 2.4x | 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 7-day average price crosses above the 48-day average
- Sell — Sell (to cash) when the 7-day average falls below the 48-day average