Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER KOSPI ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER KOSPI ETF. 3 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 11.2%, MDD -19.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.7%, drawdown -42.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.2%, MDD -19.5%, Sharpe 0.82, 14% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.7%, MDD -38.6%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 23.4%p (CAGR 11.2%, MDD -19.5%, exposure 14%).
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=43, threshold=20 |
11.2% | -19.5% | 0.82 | 0.57 | 2.6x | 6 | 14% |
| 볼린저 밴드 돌파 n=20, k=2 |
9.2% | -20.2% | 0.79 | 0.46 | 2.2x | 58 | 29% |
| ROC 모멘텀 n=134, threshold=0.13 |
12.9% | -38.6% | 0.77 | 0.33 | 3.0x | 13 | 24% |
| Supertrend period=16, mult=4.3 |
11.5% | -24.1% | 0.77 | 0.48 | 2.6x | 42 | 51% |
| SMA 크로스오버 fast=26, slow=93 |
13.7% | -38.6% | 0.74 | 0.35 | 3.1x | 17 | 54% |
| EMA 크로스오버 fast=18, slow=68 |
12.7% | -28.0% | 0.74 | 0.45 | 2.9x | 24 | 55% |
| Donchian 채널 돌파 entryN=52, exitN=23 |
11.5% | -22.4% | 0.74 | 0.51 | 2.6x | 30 | 40% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=2.6 |
9.4% | -22.7% | 0.65 | 0.41 | 2.2x | 42 | 38% |
| MACD fast=12, slow=55, signal=17 |
9.0% | -38.9% | 0.65 | 0.23 | 2.2x | 96 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
2.0% | -37.8% | 0.21 | 0.05 | 1.2x | 144 | 57% |
| Buy and hold | 12.7% | -42.9% | 0.63 | 0.30 | 2.9x | 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, 43-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)