Trend-Following Backtester · Guide · backtest 한국어
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Mirae Asset Tiger 200 ETF backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset Tiger 200 ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.2%, drawdown -40.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.1%, MDD -20.1%, Sharpe 0.62, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.9%, MDD -40.7%, exposure 72%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=39, threshold=18 |
7.1% | -20.1% | 0.62 | 0.35 | 3.2x | 34 | 19% |
| Donchian 채널 돌파 entryN=27, exitN=72 |
9.9% | -40.7% | 0.59 | 0.24 | 5.1x | 39 | 72% |
| Supertrend period=19, mult=4.6 |
7.8% | -27.3% | 0.59 | 0.28 | 3.6x | 66 | 53% |
| 볼린저 밴드 돌파 n=51, k=3.1 |
4.7% | -20.1% | 0.58 | 0.23 | 2.2x | 10 | 8% |
| ROC 모멘텀 n=143, threshold=0.22 |
7.3% | -40.7% | 0.56 | 0.18 | 3.4x | 29 | 13% |
| SMA 크로스오버 fast=62, slow=105 |
8.9% | -41.2% | 0.55 | 0.22 | 4.3x | 33 | 61% |
| EMA 크로스오버 fast=40, slow=53 |
7.1% | -45.0% | 0.48 | 0.16 | 3.3x | 51 | 62% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=18, mult=2.2 |
5.2% | -37.5% | 0.45 | 0.14 | 2.4x | 92 | 37% |
| MACD fast=18, slow=53, signal=21 |
4.6% | -43.7% | 0.39 | 0.10 | 2.2x | 156 | 52% |
| Parabolic SAR step=0.06, maxStep=0.08 |
-1.4% | -70.0% | -0.02 | -0.02 | 0.8x | 344 | 58% |
| Buy and hold | 11.2% | -40.7% | 0.60 | 0.28 | 6.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 39-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)