Trend-Following Backtester · Guide · backtest 한국어
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Mirae Asset NYSE FANG+ ETF Exchange Traded Fund Units backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset NYSE FANG+ ETF Exchange Traded Fund Units. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 28.8%, MDD -12.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 31.0%, drawdown -43.7%).
Sharpe leader (same as main): Supertrend — CAGR 30.5%, MDD -21.2%, Sharpe 1.59, 61% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 31.3%, MDD -30.3%, exposure 67%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 22.6%p (CAGR 28.8%, MDD -12.2%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=3.3 |
30.5% | -21.2% | 1.59 | 1.44 | 4.1x | 27 | 61% |
| 볼린저 밴드 돌파 n=54, k=1.6 |
28.8% | -12.2% | 1.58 | 2.36 | 3.8x | 17 | 49% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=11, mult=2.3 |
26.9% | -13.1% | 1.52 | 2.05 | 3.5x | 19 | 49% |
| EMA 크로스오버 fast=30, slow=182 |
31.3% | -30.3% | 1.50 | 1.03 | 4.2x | 3 | 67% |
| SMA 크로스오버 fast=38, slow=204 |
30.1% | -30.3% | 1.49 | 1.00 | 4.0x | 3 | 64% |
| Donchian 채널 돌파 entryN=27, exitN=55 |
29.2% | -21.0% | 1.47 | 1.39 | 3.9x | 9 | 65% |
| ROC 모멘텀 n=64, threshold=-0.03 |
27.8% | -25.4% | 1.36 | 1.09 | 3.7x | 33 | 70% |
| MACD fast=20, slow=54, signal=23 |
22.8% | -20.0% | 1.33 | 1.14 | 3.0x | 37 | 44% |
| ADX / DI 방향성 period=25, threshold=10 |
25.4% | -38.3% | 1.18 | 0.66 | 3.3x | 55 | 71% |
| Parabolic SAR step=0.04, maxStep=0.06 |
16.6% | -42.7% | 0.91 | 0.39 | 2.3x | 95 | 57% |
| Buy and hold | 31.0% | -43.7% | 1.19 | 0.71 | 4.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)