Trend-Following Backtester · Guide · backtest 한국어
etf · KR
Mirae Asset Tiger KRX Secondary Battery K-New Deal ETF backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset Tiger KRX Secondary Battery K-New Deal ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -13.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.3%, drawdown -73.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.0%, MDD -23.1%, Sharpe 0.54, 14% exposure.
CAGR reference leader: MACD — CAGR 10.1%, MDD -50.2%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 3.3%, MDD -13.6%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=19, k=2.6 |
7.0% | -23.1% | 0.54 | 0.30 | 1.5x | 22 | 14% |
| MACD fast=17, slow=40, signal=19 |
10.1% | -50.2% | 0.51 | 0.20 | 1.8x | 63 | 47% |
| Supertrend period=18, mult=2.7 |
9.3% | -58.3% | 0.49 | 0.16 | 1.7x | 47 | 45% |
| ADX / DI 방향성 period=28, threshold=29 |
3.3% | -13.6% | 0.47 | 0.25 | 1.2x | 2 | 3% |
| Donchian 채널 돌파 entryN=54, exitN=102 |
7.9% | -38.0% | 0.42 | 0.21 | 1.6x | 6 | 55% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=25, mult=3.6 |
4.3% | -21.7% | 0.37 | 0.20 | 1.3x | 14 | 13% |
| Parabolic SAR step=0.01, maxStep=0.18 |
5.1% | -64.5% | 0.33 | 0.08 | 1.3x | 77 | 49% |
| SMA 크로스오버 fast=5, slow=151 |
4.6% | -33.6% | 0.31 | 0.14 | 1.3x | 10 | 41% |
| EMA 크로스오버 fast=12, slow=112 |
2.1% | -34.0% | 0.22 | 0.06 | 1.1x | 16 | 42% |
| ROC 모멘텀 n=117, threshold=-0.01 |
-0.4% | -39.6% | 0.12 | -0.01 | 1.0x | 37 | 44% |
| Buy and hold | 0.3% | -73.7% | 0.22 | 0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 19-day average (2.6× volatility)
- Sell — Sell when the close falls back to the 19-day middle average