Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER USD Futures Inverse2X ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER USD Futures Inverse2X ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.0%, MDD -2.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.0%, drawdown -66.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.0%, MDD -2.1%, Sharpe 0.57, 1% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.8%, MDD -10.7%, exposure 8%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 64.5%p (CAGR 1.0%, MDD -2.1%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=56, threshold=0.2 |
1.0% | -2.1% | 0.57 | 0.46 | 1.1x | 4 | 1% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
1.8% | -10.7% | 0.39 | 0.17 | 1.2x | 8 | 8% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=9, mult=4 |
1.5% | -11.8% | 0.35 | 0.13 | 1.2x | 9 | 8% |
| Donchian 채널 돌파 entryN=93, exitN=14 |
1.1% | -15.7% | 0.26 | 0.07 | 1.1x | 13 | 10% |
| ADX / DI 방향성 period=26, threshold=34 |
-0.1% | -4.6% | -0.03 | -0.01 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=18, slow=90 |
-1.4% | -34.3% | -0.13 | -0.04 | 0.9x | 29 | 30% |
| EMA 크로스오버 fast=34, slow=200 |
-1.3% | -24.4% | -0.18 | -0.05 | 0.9x | 8 | 18% |
| MACD fast=20, slow=70, signal=22 |
-3.9% | -41.5% | -0.29 | -0.09 | 0.7x | 75 | 47% |
| Supertrend period=6, mult=4.8 |
-4.6% | -50.9% | -0.39 | -0.09 | 0.6x | 49 | 40% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-11.8% | -75.4% | -1.04 | -0.16 | 0.3x | 211 | 45% |
| Buy and hold | -7.0% | -66.6% | -0.35 | -0.11 | 0.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 56-day return is greater than 20%
- Sell — Sell when the 56-day return drops to 20% or below