Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER KOSDAQ150 ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER KOSDAQ150 ETF. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.5%, MDD -26.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.9%, drawdown -58.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -29.7%, Sharpe 0.47, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 5.5%, MDD -26.4%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=96, exitN=79 |
7.3% | -29.7% | 0.47 | 0.25 | 2.1x | 10 | 44% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=14, mult=3.3 |
5.5% | -26.4% | 0.43 | 0.21 | 1.8x | 24 | 28% |
| SMA 크로스오버 fast=8, slow=182 |
6.7% | -37.7% | 0.43 | 0.18 | 2.0x | 24 | 48% |
| EMA 크로스오버 fast=55, slow=132 |
6.5% | -30.6% | 0.41 | 0.21 | 2.0x | 12 | 48% |
| MACD fast=9, slow=37, signal=12 |
5.4% | -30.6% | 0.39 | 0.18 | 1.8x | 159 | 51% |
| ROC 모멘텀 n=85, threshold=0.02 |
5.6% | -37.0% | 0.39 | 0.15 | 1.8x | 98 | 44% |
| ADX / DI 방향성 period=34, threshold=22 |
2.2% | -14.8% | 0.32 | 0.15 | 1.3x | 10 | 6% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
3.6% | -29.8% | 0.31 | 0.12 | 1.5x | 32 | 28% |
| Supertrend period=23, mult=5 |
0.3% | -47.0% | 0.11 | 0.01 | 1.0x | 36 | 42% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.4% | -41.3% | -0.03 | -0.06 | 0.8x | 93 | 52% |
| Buy and hold | 2.9% | -58.3% | 0.25 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 96 days
- Sell — Sell when price breaks below the lowest low of the last 79 days