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 4.8%, MDD -19.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.0%, drawdown -72.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.8%, MDD -19.0%, Sharpe 0.48, 13% exposure.
CAGR reference leader: MACD — CAGR 6.9%, MDD -44.1%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 4.8%, MDD -19.0%, exposure 13%).
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 |
4.8% | -19.0% | 0.48 | 0.25 | 1.7x | 49 | 13% |
| Donchian 채널 돌파 entryN=39, exitN=5 |
5.3% | -25.3% | 0.45 | 0.21 | 1.8x | 65 | 19% |
| MACD fast=18, slow=41, signal=17 |
6.9% | -44.1% | 0.42 | 0.16 | 2.1x | 105 | 52% |
| 볼린저 밴드 돌파 n=18, k=2.2 |
4.9% | -39.9% | 0.41 | 0.12 | 1.7x | 63 | 20% |
| SMA 크로스오버 fast=16, slow=74 |
5.9% | -36.7% | 0.39 | 0.16 | 1.9x | 39 | 44% |
| Supertrend period=16, mult=2.6 |
5.8% | -36.1% | 0.38 | 0.16 | 1.8x | 87 | 50% |
| ROC 모멘텀 n=33, threshold=0.12 |
2.8% | -23.0% | 0.29 | 0.12 | 1.4x | 97 | 15% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=14, mult=2.6 |
2.4% | -31.3% | 0.23 | 0.08 | 1.3x | 41 | 28% |
| EMA 크로스오버 fast=19, slow=24 |
1.8% | -39.6% | 0.19 | 0.05 | 1.2x | 71 | 46% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-0.4% | -52.3% | 0.09 | -0.01 | 1.0x | 139 | 50% |
| Buy and hold | -2.0% | -72.5% | 0.09 | -0.03 | 0.8x | 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)