Trend-Following Backtester · Guide · backtest 한국어
equity · KR
TIGER 반도체 backtest
10 trend-following strategies were compared on the full daily history of TIGER 반도체. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -49.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.3%, MDD -49.8%, Sharpe 0.70, 83% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=23, exitN=105 |
14.3% | -49.8% | 0.70 | 0.29 | 13.6x | 25 | 83% |
| EMA 크로스오버 fast=22, slow=46 |
10.5% | -36.5% | 0.62 | 0.29 | 7.0x | 70 | 61% |
| SMA 크로스오버 fast=56, slow=104 |
11.5% | -49.8% | 0.62 | 0.23 | 8.3x | 37 | 61% |
| 볼린저 밴드 돌파 n=60, k=3.5 |
6.7% | -23.5% | 0.60 | 0.29 | 3.5x | 4 | 6% |
| Supertrend period=23, mult=4.9 |
8.1% | -42.4% | 0.54 | 0.19 | 4.5x | 70 | 54% |
| MACD fast=20, slow=51, signal=21 |
7.1% | -57.4% | 0.49 | 0.12 | 3.8x | 162 | 53% |
| ROC 모멘텀 n=107, threshold=-0.01 |
6.6% | -49.8% | 0.42 | 0.13 | 3.5x | 135 | 65% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=3.9 |
2.3% | -19.0% | 0.41 | 0.12 | 1.5x | 6 | 2% |
| ADX / DI 방향성 period=29, threshold=22 |
4.1% | -19.7% | 0.40 | 0.21 | 2.2x | 30 | 9% |
| Parabolic SAR step=0.06, maxStep=0.08 |
0.6% | -80.8% | 0.14 | 0.01 | 1.1x | 352 | 59% |
| Buy and hold | 14.4% | -49.8% | 0.65 | 0.29 | 13.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 23 days
- Sell — Sell when price breaks below the lowest low of the last 105 days