Trend-Following Backtester · Guide · backtest 한국어
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Yuanta S&P 500 ETF backtest
10 trend-following strategies were compared on the full daily history of Yuanta S&P 500 ETF. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 13.3%, drawdown -34.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.6%, MDD -24.6%, Sharpe 1.02, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=6, threshold=-0.07 |
14.6% | -24.6% | 1.02 | 0.59 | 4.3x | 15 | 99% |
| Donchian 채널 돌파 entryN=25, exitN=46 |
10.0% | -21.3% | 0.92 | 0.47 | 2.8x | 27 | 80% |
| EMA 크로스오버 fast=13, slow=91 |
8.6% | -27.3% | 0.81 | 0.31 | 2.4x | 29 | 79% |
| 볼린저 밴드 돌파 n=71, k=1.3 |
6.3% | -15.2% | 0.73 | 0.41 | 1.9x | 39 | 62% |
| SMA 크로스오버 fast=73, slow=117 |
8.3% | -34.3% | 0.67 | 0.24 | 2.3x | 19 | 78% |
| Parabolic SAR step=0.005, maxStep=0.12 |
5.4% | -15.1% | 0.60 | 0.36 | 1.7x | 88 | 65% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=1.4 |
5.2% | -26.6% | 0.60 | 0.20 | 1.7x | 69 | 69% |
| Supertrend period=23, mult=3.5 |
5.3% | -21.6% | 0.55 | 0.24 | 1.7x | 100 | 73% |
| MACD fast=19, slow=34, signal=17 |
3.5% | -18.7% | 0.44 | 0.19 | 1.4x | 130 | 53% |
| ADX / DI 방향성 period=25, threshold=24 |
0.9% | -15.3% | 0.23 | 0.06 | 1.1x | 20 | 15% |
| Buy and hold | 13.3% | -34.3% | 0.88 | 0.39 | 3.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 6-day return is greater than -7%
- Sell — Sell when the 6-day return drops to -7% or below