Trend-Following Backtester · Guide · backtest 한국어
equity · KR
TIGER 코리아TOP10 backtest
10 trend-following strategies were compared on the full daily history of TIGER 코리아TOP10. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.8%, MDD -26.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.7%, drawdown -41.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.8%, MDD -26.2%, Sharpe 0.96, 41% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.1%, MDD -40.3%, exposure 60%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 14.9%p (CAGR 18.8%, MDD -26.2%, exposure 41%).
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=100, exitN=35 |
18.8% | -26.2% | 0.96 | 0.72 | 4.2x | 12 | 41% |
| 볼린저 밴드 돌파 n=30, k=1.7 |
16.4% | -29.7% | 0.95 | 0.55 | 3.5x | 54 | 36% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=1.9 |
17.4% | -27.5% | 0.94 | 0.63 | 3.8x | 48 | 39% |
| EMA 크로스오버 fast=12, slow=55 |
18.1% | -26.4% | 0.88 | 0.69 | 4.0x | 34 | 55% |
| ROC 모멘텀 n=164, threshold=-0.03 |
20.1% | -40.3% | 0.88 | 0.50 | 4.6x | 31 | 60% |
| ADX / DI 방향성 period=37, threshold=14 |
15.0% | -24.9% | 0.85 | 0.60 | 3.2x | 38 | 26% |
| SMA 크로스오버 fast=52, slow=152 |
18.4% | -40.3% | 0.83 | 0.46 | 4.1x | 13 | 51% |
| Supertrend period=11, mult=3.5 |
15.2% | -28.2% | 0.82 | 0.54 | 3.2x | 56 | 53% |
| MACD fast=16, slow=49, signal=17 |
13.3% | -34.5% | 0.76 | 0.39 | 2.8x | 86 | 51% |
| Parabolic SAR step=0.04, maxStep=0.08 |
7.3% | -45.0% | 0.47 | 0.16 | 1.8x | 148 | 56% |
| Buy and hold | 17.7% | -41.2% | 0.73 | 0.43 | 3.9x | 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 100 days
- Sell — Sell when price breaks below the lowest low of the last 35 days