Trend-Following Backtester · Guide · backtest 한국어
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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. 10 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 3.4%, MDD -13.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.2%, drawdown -73.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.1%, MDD -23.1%, Sharpe 0.54, 14% exposure.
CAGR reference leader: Supertrend — CAGR 8.0%, MDD -58.3%, exposure 44%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 3.4%, 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 |
7.1% | -23.1% | 0.54 | 0.31 | 1.5x | 22 | 14% |
| ADX / DI 방향성 period=28, threshold=29 |
3.4% | -13.6% | 0.48 | 0.25 | 1.2x | 2 | 3% |
| Supertrend period=18, mult=2.7 |
8.0% | -58.3% | 0.44 | 0.14 | 1.6x | 46 | 44% |
| Donchian 채널 돌파 entryN=54, exitN=102 |
8.0% | -38.0% | 0.42 | 0.21 | 1.6x | 6 | 56% |
| MACD fast=17, slow=40, signal=19 |
6.7% | -50.2% | 0.39 | 0.13 | 1.5x | 62 | 46% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=25, mult=3.6 |
4.4% | -21.7% | 0.37 | 0.20 | 1.3x | 14 | 13% |
| SMA 크로스오버 fast=5, slow=151 |
4.7% | -33.6% | 0.32 | 0.14 | 1.3x | 10 | 42% |
| Parabolic SAR step=0.01, maxStep=0.18 |
3.2% | -64.5% | 0.26 | 0.05 | 1.2x | 76 | 48% |
| EMA 크로스오버 fast=12, slow=112 |
2.2% | -34.0% | 0.22 | 0.06 | 1.1x | 16 | 43% |
| ROC 모멘텀 n=117, threshold=-0.01 |
-0.5% | -39.0% | 0.12 | -0.01 | 1.0x | 34 | 44% |
| Buy and hold | -3.2% | -73.7% | 0.13 | -0.04 | 0.8x | 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