Trend-Following Backtester · Guide · backtest 한국어
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TSE Growth 250 ETF backtest
10 trend-following strategies were compared on the full daily history of TSE Growth 250 ETF. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.0%, MDD -3.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.0%, drawdown -64.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.5%, MDD -9.3%, Sharpe 0.26, 3% exposure.
CAGR reference leader: MACD — CAGR 1.6%, MDD -40.9%, exposure 50%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR -0.0%, MDD -3.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=20, threshold=25 |
1.5% | -9.3% | 0.26 | 0.16 | 1.1x | 14 | 3% |
| MACD fast=11, slow=59, signal=19 |
1.6% | -40.9% | 0.18 | 0.04 | 1.1x | 99 | 50% |
| Supertrend period=13, mult=3.7 |
0.6% | -44.3% | 0.13 | 0.01 | 1.1x | 43 | 41% |
| SMA 크로스오버 fast=26, slow=218 |
0.6% | -44.1% | 0.12 | 0.01 | 1.0x | 13 | 36% |
| 볼린저 밴드 돌파 n=14, k=3.1 |
-0.0% | -3.8% | -0.01 | -0.01 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=87, exitN=30 |
-1.7% | -40.8% | -0.05 | -0.04 | 0.9x | 16 | 23% |
| ROC 모멘텀 n=85, threshold=0.1 |
-1.5% | -35.9% | -0.07 | -0.04 | 0.9x | 50 | 16% |
| EMA 크로스오버 fast=59, slow=96 |
-3.6% | -48.1% | -0.12 | -0.07 | 0.7x | 17 | 36% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=26, mult=3 |
-2.0% | -35.8% | -0.19 | -0.06 | 0.8x | 23 | 9% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-6.8% | -51.6% | -0.27 | -0.13 | 0.5x | 113 | 50% |
| Buy and hold | -5.0% | -64.4% | -0.01 | -0.08 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 20-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)