Trend-Following Backtester · Guide · backtest 한국어
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Mirae Asset Tiger Inverse ETF backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset Tiger Inverse ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -2.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.5%, drawdown -91.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.4%, Sharpe 0.09, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.6%p higher than buy and hold, while drawdown improves by 88.8%p (CAGR 0.1%, MDD -2.4%, exposure 0%).
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=31, threshold=39 |
0.1% | -2.4% | 0.09 | 0.02 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=17, threshold=0.14 |
-0.2% | -25.8% | 0.02 | -0.01 | 1.0x | 10 | 1% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
-0.7% | -34.9% | -0.04 | -0.02 | 0.9x | 20 | 11% |
| SMA 크로스오버 fast=72, slow=88 |
-1.9% | -51.0% | -0.11 | -0.04 | 0.7x | 59 | 40% |
| Supertrend period=19, mult=4.9 |
-3.3% | -55.3% | -0.11 | -0.06 | 0.6x | 51 | 48% |
| Donchian 채널 돌파 entryN=64, exitN=46 |
-2.0% | -34.9% | -0.13 | -0.06 | 0.7x | 30 | 34% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=23, mult=2.8 |
-2.2% | -39.0% | -0.16 | -0.06 | 0.7x | 50 | 23% |
| EMA 크로스오버 fast=36, slow=46 |
-2.7% | -38.3% | -0.17 | -0.07 | 0.6x | 46 | 37% |
| MACD fast=19, slow=31, signal=27 |
-7.4% | -77.9% | -0.35 | -0.10 | 0.3x | 158 | 49% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-7.4% | -78.5% | -0.37 | -0.09 | 0.3x | 136 | 43% |
| Buy and hold | -12.5% | -91.2% | -0.48 | -0.14 | 0.1x | 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, 31-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)