Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER China Hang Seng TECH ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER China Hang Seng TECH ETF. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -17.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.0%, drawdown -67.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.5%, MDD -26.3%, Sharpe 0.47, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 3.3%, MDD -17.1%, exposure 8%).
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=182, threshold=0.13 |
6.5% | -26.3% | 0.47 | 0.24 | 1.4x | 22 | 23% |
| 볼린저 밴드 돌파 n=27, k=2.8 |
5.0% | -17.3% | 0.46 | 0.29 | 1.3x | 12 | 10% |
| Donchian 채널 돌파 entryN=44, exitN=12 |
4.5% | -19.1% | 0.38 | 0.23 | 1.3x | 14 | 17% |
| ADX / DI 방향성 period=8, threshold=37 |
3.3% | -17.1% | 0.34 | 0.20 | 1.2x | 28 | 8% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=14, mult=2.2 |
3.2% | -18.1% | 0.33 | 0.18 | 1.2x | 18 | 8% |
| EMA 크로스오버 fast=9, slow=181 |
2.0% | -28.0% | 0.21 | 0.07 | 1.1x | 10 | 35% |
| Supertrend period=21, mult=4.3 |
1.7% | -30.1% | 0.19 | 0.06 | 1.1x | 18 | 33% |
| SMA 크로스오버 fast=6, slow=192 |
1.5% | -32.7% | 0.18 | 0.04 | 1.1x | 14 | 37% |
| MACD fast=16, slow=43, signal=16 |
-1.6% | -45.9% | 0.04 | -0.04 | 0.9x | 59 | 48% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-11.7% | -67.3% | -0.44 | -0.17 | 0.5x | 170 | 49% |
| Buy and hold | -5.0% | -67.3% | 0.02 | -0.07 | 0.7x | 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 182-day return is greater than 13%
- Sell — Sell when the 182-day return drops to 13% or below