Trend-Following Backtester · Guide · backtest 한국어
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Mirae Asset Tiger Leverage ETF backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset Tiger Leverage ETF. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.3%, MDD -44.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.7%, drawdown -68.1%).
Sharpe leader (same as main): Supertrend — CAGR 16.3%, MDD -44.4%, Sharpe 0.68, 49% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.9%, MDD -62.2%, exposure 73%.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 16.3%, MDD -44.4%, 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=19, mult=4.9 |
16.3% | -44.4% | 0.68 | 0.37 | 11.7x | 54 | 49% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=2.2 |
11.6% | -39.4% | 0.65 | 0.29 | 6.0x | 86 | 22% |
| ADX / DI 방향성 period=36, threshold=16 |
12.9% | -44.6% | 0.63 | 0.29 | 7.2x | 44 | 17% |
| Donchian 채널 돌파 entryN=20, exitN=66 |
16.9% | -62.2% | 0.63 | 0.27 | 12.8x | 44 | 73% |
| 볼린저 밴드 돌파 n=29, k=2.3 |
10.6% | -39.4% | 0.61 | 0.27 | 5.1x | 68 | 22% |
| SMA 크로스오버 fast=36, slow=106 |
15.0% | -68.1% | 0.58 | 0.22 | 9.8x | 39 | 58% |
| EMA 크로스오버 fast=32, slow=52 |
13.8% | -60.8% | 0.57 | 0.23 | 8.2x | 52 | 58% |
| ROC 모멘텀 n=143, threshold=0.14 |
13.1% | -68.1% | 0.56 | 0.19 | 7.5x | 91 | 32% |
| MACD fast=17, slow=57, signal=19 |
10.6% | -55.8% | 0.50 | 0.19 | 5.2x | 156 | 52% |
| Parabolic SAR step=0.04, maxStep=0.12 |
7.2% | -65.2% | 0.40 | 0.11 | 3.1x | 400 | 55% |
| Buy and hold | 15.7% | -68.1% | 0.56 | 0.23 | 10.8x | 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) — 19-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)