Trend-Following Backtester · Guide · backtest 한국어
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TIGER 반도체TOP10 backtest
10 trend-following strategies were compared on the full daily history of TIGER 반도체TOP10. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 33.5%, MDD -23.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 28.8%, drawdown -52.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.2%, MDD -20.1%, Sharpe 1.20, 26% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 38.6%, MDD -34.3%, exposure 63%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.5%p lower than buy and hold, while drawdown improves by 32.4%p (CAGR 33.5%, MDD -23.4%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=1.7 |
23.2% | -20.1% | 1.20 | 1.16 | 2.9x | 34 | 26% |
| 볼린저 밴드 돌파 n=18, k=1.9 |
24.0% | -20.7% | 1.18 | 1.16 | 3.0x | 38 | 32% |
| EMA 크로스오버 fast=20, slow=57 |
38.6% | -34.3% | 1.17 | 1.13 | 5.2x | 12 | 63% |
| Supertrend period=5, mult=4.9 |
37.1% | -31.0% | 1.16 | 1.20 | 4.9x | 14 | 64% |
| ADX / DI 방향성 period=26, threshold=15 |
33.5% | -23.4% | 1.15 | 1.43 | 4.3x | 20 | 44% |
| Donchian 채널 돌파 entryN=21, exitN=53 |
36.8% | -34.6% | 1.12 | 1.06 | 4.9x | 12 | 71% |
| SMA 크로스오버 fast=16, slow=66 |
35.9% | -34.3% | 1.11 | 1.05 | 4.7x | 12 | 61% |
| MACD fast=16, slow=48, signal=12 |
26.9% | -30.2% | 1.02 | 0.89 | 3.3x | 53 | 50% |
| ROC 모멘텀 n=55, threshold=-0.02 |
32.2% | -35.9% | 1.02 | 0.90 | 4.1x | 46 | 65% |
| Parabolic SAR step=0.04, maxStep=0.1 |
17.8% | -32.6% | 0.75 | 0.55 | 2.3x | 112 | 55% |
| Buy and hold | 28.8% | -52.5% | 0.82 | 0.55 | 3.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 12-day average + 1.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average