Trend-Following Backtester · Guide · backtest 한국어
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TSE Mothers Core ETF backtest
10 trend-following strategies were compared on the full daily history of TSE Mothers Core ETF. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.0%, MDD -34.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.6%, drawdown -68.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.0%, MDD -34.8%, Sharpe 0.42, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.6%, MDD -53.4%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 33.2%p (CAGR 6.0%, MDD -34.8%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3.2 |
6.0% | -34.8% | 0.42 | 0.17 | 2.4x | 18 | 14% |
| SMA 크로스오버 fast=16, slow=204 |
7.6% | -53.4% | 0.41 | 0.14 | 2.9x | 30 | 52% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=21, mult=3.8 |
6.2% | -37.3% | 0.41 | 0.17 | 2.4x | 26 | 18% |
| Supertrend period=31, mult=4.8 |
7.0% | -60.6% | 0.40 | 0.11 | 2.7x | 46 | 54% |
| ROC 모멘텀 n=204, threshold=0.19 |
6.0% | -46.2% | 0.38 | 0.13 | 2.4x | 56 | 26% |
| EMA 크로스오버 fast=35, slow=120 |
5.5% | -60.8% | 0.34 | 0.09 | 2.2x | 32 | 53% |
| Donchian 채널 돌파 entryN=123, exitN=39 |
4.4% | -55.0% | 0.30 | 0.08 | 1.9x | 26 | 34% |
| ADX / DI 방향성 period=19, threshold=15 |
3.6% | -52.0% | 0.27 | 0.07 | 1.7x | 162 | 35% |
| Parabolic SAR step=0.01, maxStep=0.14 |
2.3% | -59.4% | 0.22 | 0.04 | 1.4x | 190 | 54% |
| MACD fast=17, slow=55, signal=15 |
1.5% | -62.9% | 0.18 | 0.02 | 1.2x | 160 | 50% |
| Buy and hold | 5.6% | -68.1% | 0.33 | 0.08 | 2.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 52-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 52-day middle average