Trend-Following Backtester · Guide · backtest 한국어
equity · KR
TIGER 단기통안채 backtest
10 trend-following strategies were compared on the full daily history of TIGER 단기통안채. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 0.8%, drawdown -23.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.6%, MDD -24.6%, Sharpe 0.11, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=101, threshold=-0.03 |
0.6% | -24.6% | 0.11 | 0.03 | 1.1x | 3 | 97% |
| Donchian 채널 돌파 Hold-like · Exposure 99% entryN=1, exitN=61 |
0.1% | -28.3% | 0.06 | 0.00 | 1.0x | 21 | 99% |
| Supertrend period=6, mult=5 |
-0.1% | -29.1% | 0.04 | -0.00 | 1.0x | 21 | 89% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
-0.3% | -30.3% | 0.02 | -0.01 | 1.0x | 25 | 89% |
| SMA 크로스오버 fast=49, slow=64 |
-0.3% | -30.2% | 0.02 | -0.01 | 1.0x | 23 | 82% |
| EMA 크로스오버 fast=11, slow=27 |
-0.3% | -30.8% | 0.02 | -0.01 | 1.0x | 25 | 85% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=1.2 |
-0.4% | -30.9% | 0.01 | -0.01 | 0.9x | 25 | 83% |
| Parabolic SAR step=0.025, maxStep=0.06 |
-1.3% | -35.2% | -0.08 | -0.04 | 0.8x | 59 | 70% |
| ADX / DI 방향성 period=30, threshold=15 |
-1.4% | -36.7% | -0.09 | -0.04 | 0.8x | 51 | 70% |
| MACD fast=16, slow=55, signal=18 |
-3.7% | -50.5% | -0.32 | -0.07 | 0.6x | 115 | 62% |
| Buy and hold | 0.8% | -23.8% | 0.13 | 0.03 | 1.1x | 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 101-day return is greater than -3%
- Sell — Sell when the 101-day return drops to -3% or below