Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER COSMETICS ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER COSMETICS 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 3.9%, MDD -19.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.8%, drawdown -72.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -19.0%, Sharpe 0.42, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 3.9%, MDD -19.0%, exposure 12%).
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=12, threshold=31 |
3.9% | -19.0% | 0.42 | 0.21 | 1.5x | 48 | 12% |
| Donchian 채널 돌파 entryN=39, exitN=5 |
3.5% | -25.3% | 0.33 | 0.14 | 1.5x | 64 | 19% |
| MACD fast=18, slow=41, signal=17 |
3.9% | -44.1% | 0.29 | 0.09 | 1.5x | 105 | 51% |
| 볼린저 밴드 돌파 n=18, k=2.2 |
2.7% | -39.9% | 0.26 | 0.07 | 1.3x | 62 | 20% |
| SMA 크로스오버 fast=16, slow=74 |
3.0% | -36.7% | 0.25 | 0.08 | 1.4x | 39 | 44% |
| Supertrend period=16, mult=2.6 |
2.8% | -36.1% | 0.24 | 0.08 | 1.3x | 87 | 49% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=14, mult=2.6 |
0.9% | -31.3% | 0.14 | 0.03 | 1.1x | 40 | 27% |
| ROC 모멘텀 n=33, threshold=0.12 |
0.6% | -23.0% | 0.11 | 0.02 | 1.1x | 96 | 14% |
| EMA 크로스오버 fast=19, slow=24 |
-1.1% | -39.6% | 0.05 | -0.03 | 0.9x | 71 | 45% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-2.5% | -52.3% | -0.02 | -0.05 | 0.8x | 137 | 50% |
| Buy and hold | -4.8% | -72.5% | -0.00 | -0.07 | 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, 12-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)