Trend-Following Backtester · Guide · backtest 한국어
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Mirae Asset Tiger NASDAQ100 ETF backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset Tiger NASDAQ100 ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 15.9%, MDD -21.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.7%, drawdown -31.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.3%, MDD -25.9%, Sharpe 1.10, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 5.3%p (CAGR 15.9%, MDD -21.7%, exposure 77%).
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 n=224, threshold=-0.12 |
19.3% | -25.9% | 1.10 | 0.75 | 16.5x | 13 | 92% |
| Donchian 채널 돌파 entryN=21, exitN=42 |
15.9% | -21.7% | 1.10 | 0.73 | 10.4x | 38 | 77% |
| MACD fast=17, slow=55, signal=31 |
11.8% | -26.8% | 1.07 | 0.44 | 5.8x | 114 | 51% |
| EMA 크로스오버 fast=50, slow=201 |
16.8% | -25.9% | 1.01 | 0.65 | 11.7x | 11 | 86% |
| SMA 크로스오버 fast=18, slow=148 |
14.8% | -24.7% | 0.99 | 0.60 | 9.0x | 29 | 79% |
| Supertrend period=20, mult=4.1 |
12.6% | -26.9% | 0.97 | 0.47 | 6.6x | 84 | 73% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=2.3 |
8.1% | -21.3% | 0.76 | 0.38 | 3.4x | 94 | 52% |
| 볼린저 밴드 돌파 n=50, k=1.3 |
7.9% | -28.4% | 0.70 | 0.28 | 3.3x | 98 | 59% |
| ADX / DI 방향성 period=18, threshold=11 |
7.7% | -31.1% | 0.66 | 0.25 | 3.3x | 216 | 66% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.6% | -24.9% | 0.50 | 0.22 | 2.4x | 242 | 64% |
| Buy and hold | 19.7% | -31.3% | 1.07 | 0.63 | 17.4x | 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 224-day return is greater than -12%
- Sell — Sell when the 224-day return drops to -12% or below