Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER KOSDAQ150 LEVERAGE ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER KOSDAQ150 LEVERAGE ETF. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.0%, MDD -30.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.5%, drawdown -85.7%).
Sharpe leader (same as main): MACD — CAGR 17.7%, MDD -61.2%, Sharpe 0.65, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.2%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 3.0%, MDD -30.0%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=11, slow=24, signal=16 |
17.7% | -61.2% | 0.65 | 0.29 | 5.7x | 145 | 52% |
| Donchian 채널 돌파 entryN=96, exitN=41 |
12.0% | -39.6% | 0.51 | 0.30 | 3.4x | 14 | 29% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=1.2 |
10.1% | -39.9% | 0.51 | 0.25 | 2.8x | 114 | 29% |
| EMA 크로스오버 fast=39, slow=127 |
12.0% | -57.1% | 0.50 | 0.21 | 3.4x | 16 | 43% |
| SMA 크로스오버 fast=18, slow=188 |
11.1% | -55.4% | 0.47 | 0.20 | 3.1x | 20 | 45% |
| 볼린저 밴드 돌파 n=15, k=2 |
6.3% | -43.7% | 0.39 | 0.14 | 1.9x | 86 | 23% |
| Parabolic SAR step=0.02, maxStep=0.08 |
7.2% | -70.3% | 0.38 | 0.10 | 2.1x | 164 | 53% |
| ROC 모멘텀 n=85, threshold=-0.02 |
7.3% | -65.8% | 0.38 | 0.11 | 2.1x | 116 | 49% |
| Supertrend period=4, mult=2.3 |
6.6% | -45.2% | 0.37 | 0.15 | 2.0x | 107 | 46% |
| ADX / DI 방향성 period=31, threshold=22 |
3.0% | -30.0% | 0.28 | 0.10 | 1.4x | 18 | 5% |
| Buy and hold | -2.5% | -85.7% | 0.26 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (11/24) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line