Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER HOLDINGS COMPANY ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER HOLDINGS COMPANY ETF. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.0%, MDD -19.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.7%, drawdown -44.8%).
Sharpe leader (same as main): Supertrend — CAGR 10.0%, MDD -19.6%, Sharpe 0.66, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 25.1%p (CAGR 10.0%, MDD -19.6%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=2.1 |
10.0% | -19.6% | 0.66 | 0.51 | 2.1x | 104 | 52% |
| ADX / DI 방향성 period=33, threshold=11 |
9.6% | -20.7% | 0.62 | 0.46 | 2.0x | 56 | 37% |
| MACD fast=13, slow=50, signal=16 |
8.3% | -29.3% | 0.57 | 0.28 | 1.9x | 74 | 46% |
| SMA 크로스오버 fast=13, slow=193 |
8.9% | -33.9% | 0.51 | 0.26 | 1.9x | 15 | 46% |
| Parabolic SAR step=0.005, maxStep=0.12 |
7.5% | -32.7% | 0.50 | 0.23 | 1.7x | 62 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=1.9 |
5.2% | -17.3% | 0.50 | 0.30 | 1.5x | 54 | 19% |
| Donchian 채널 돌파 entryN=18, exitN=63 |
8.6% | -29.5% | 0.49 | 0.29 | 1.9x | 22 | 73% |
| ROC 모멘텀 n=188, threshold=0 |
7.9% | -33.9% | 0.47 | 0.23 | 1.8x | 25 | 46% |
| EMA 크로스오버 fast=57, slow=207 |
6.7% | -33.9% | 0.42 | 0.20 | 1.6x | 9 | 47% |
| 볼린저 밴드 돌파 n=22, k=1.5 |
4.1% | -31.8% | 0.34 | 0.13 | 1.4x | 74 | 35% |
| Buy and hold | 8.7% | -44.8% | 0.46 | 0.19 | 1.9x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)