Trend-Following Backtester · Guide · backtest 한국어
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Mirae Asset Tiger Hyundai Motor Group ETF backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset Tiger Hyundai Motor Group ETF. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.3%, MDD -27.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.1%, drawdown -74.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -27.4%, Sharpe 0.56, 15% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 47.5%p (CAGR 7.3%, MDD -27.4%, exposure 21%).
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=91, k=3.3 |
7.4% | -27.4% | 0.56 | 0.27 | 3.0x | 6 | 15% |
| ROC 모멘텀 n=101, threshold=0.1 |
7.3% | -27.4% | 0.53 | 0.26 | 3.0x | 62 | 21% |
| ADX / DI 방향성 period=38, threshold=19 |
6.6% | -27.4% | 0.53 | 0.24 | 2.7x | 20 | 14% |
| SMA 크로스오버 fast=60, slow=158 |
4.1% | -39.8% | 0.31 | 0.10 | 1.9x | 28 | 44% |
| EMA 크로스오버 fast=58, slow=146 |
3.5% | -50.1% | 0.28 | 0.07 | 1.7x | 24 | 44% |
| Donchian 채널 돌파 entryN=99, exitN=44 |
3.2% | -43.6% | 0.27 | 0.07 | 1.6x | 24 | 31% |
| Supertrend period=12, mult=3.7 |
3.0% | -47.9% | 0.26 | 0.06 | 1.6x | 100 | 51% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=3.8 |
1.5% | -46.1% | 0.18 | 0.03 | 1.3x | 40 | 18% |
| MACD fast=16, slow=22, signal=22 |
-0.3% | -49.7% | 0.08 | -0.01 | 1.0x | 190 | 49% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.3% | -67.2% | -0.03 | -0.03 | 0.7x | 132 | 50% |
| Buy and hold | 3.1% | -74.9% | 0.25 | 0.04 | 1.6x | 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 91-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 91-day middle average