Trend-Following Backtester · Guide · backtest 한국어
equity · KR
TIGER 미국나스닥100 backtest
10 trend-following strategies were compared on the full daily history of TIGER 미국나스닥100. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.0%, MDD -21.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 19.9%, drawdown -31.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.5%, MDD -25.9%, Sharpe 1.11, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 5.3%p (CAGR 16.0%, MDD -21.7%, exposure 78%).
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=224, threshold=-0.12 |
19.5% | -25.9% | 1.11 | 0.75 | 16.6x | 13 | 92% |
| Donchian 채널 돌파 entryN=21, exitN=42 |
16.0% | -21.7% | 1.10 | 0.73 | 10.4x | 38 | 78% |
| MACD fast=17, slow=55, signal=31 |
11.8% | -26.8% | 1.07 | 0.44 | 5.8x | 114 | 51% |
| EMA 크로스오버 fast=50, slow=201 |
16.9% | -25.9% | 1.02 | 0.65 | 11.8x | 11 | 86% |
| SMA 크로스오버 fast=18, slow=148 |
15.0% | -24.7% | 1.00 | 0.61 | 9.1x | 29 | 79% |
| Supertrend period=20, mult=4.1 |
12.7% | -26.9% | 0.97 | 0.47 | 6.6x | 84 | 73% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=22, mult=2.3 |
8.1% | -21.3% | 0.76 | 0.38 | 3.4x | 94 | 52% |
| 볼린저 밴드 돌파 n=50, k=1.3 |
7.9% | -28.4% | 0.70 | 0.28 | 3.3x | 98 | 60% |
| ADX / DI 방향성 period=18, threshold=11 |
7.8% | -31.1% | 0.66 | 0.25 | 3.3x | 216 | 66% |
| Parabolic SAR step=0.015, maxStep=0.12 |
6.0% | -24.9% | 0.53 | 0.24 | 2.5x | 240 | 64% |
| Buy and hold | 19.9% | -31.3% | 1.08 | 0.64 | 17.5x | 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 224-day return is greater than -12%
- Sell — Sell when the 224-day return drops to -12% or below