Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER KOSDAQ150BIOTECH ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER KOSDAQ150BIOTECH ETF. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.4%, MDD -22.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.6%, drawdown -65.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.8%, MDD -30.6%, Sharpe 0.75, 51% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 34.5%p (CAGR 4.4%, MDD -22.4%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=58, slow=91 |
17.8% | -30.6% | 0.75 | 0.58 | 4.8x | 8 | 51% |
| SMA 크로스오버 fast=34, slow=162 |
16.7% | -42.6% | 0.70 | 0.39 | 4.4x | 10 | 50% |
| Donchian 채널 돌파 entryN=103, exitN=67 |
12.3% | -34.1% | 0.59 | 0.36 | 3.0x | 10 | 44% |
| ROC 모멘텀 n=109, threshold=-0.01 |
12.4% | -46.2% | 0.57 | 0.27 | 3.1x | 56 | 54% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=28, mult=2.8 |
4.4% | -22.4% | 0.43 | 0.20 | 1.5x | 28 | 10% |
| ADX / DI 방향성 period=28, threshold=20 |
4.6% | -31.7% | 0.41 | 0.15 | 1.5x | 20 | 12% |
| 볼린저 밴드 돌파 n=59, k=2.4 |
4.6% | -37.3% | 0.34 | 0.12 | 1.5x | 22 | 24% |
| Supertrend period=29, mult=4.8 |
1.9% | -41.7% | 0.20 | 0.05 | 1.2x | 40 | 45% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-3.2% | -63.1% | -0.01 | -0.05 | 0.7x | 130 | 51% |
| MACD fast=21, slow=40, signal=14 |
-3.4% | -62.4% | -0.03 | -0.06 | 0.7x | 108 | 51% |
| Buy and hold | 2.6% | -65.1% | 0.26 | 0.04 | 1.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 58-day EMA crosses above the 91-day EMA
- Sell — Sell when the 58-day EMA falls below the 91-day EMA