Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER 200 IT LEVERAGE ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER 200 IT LEVERAGE ETF. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 36.7%, MDD -41.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 40.4%, drawdown -80.0%).
Sharpe leader (same as main): Supertrend — CAGR 48.1%, MDD -54.6%, Sharpe 1.18, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 36.7%, MDD -41.1%, exposure 29%).
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=5 |
48.1% | -54.6% | 1.18 | 0.88 | 57.3x | 30 | 49% |
| 볼린저 밴드 돌파 n=16, k=2.1 |
36.7% | -41.1% | 1.15 | 0.89 | 25.1x | 80 | 29% |
| MACD fast=18, slow=36, signal=8 |
42.2% | -70.1% | 1.08 | 0.60 | 37.7x | 141 | 52% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=33, mult=1.9 |
33.5% | -45.6% | 1.06 | 0.74 | 19.7x | 68 | 26% |
| EMA 크로스오버 fast=17, slow=18 |
42.3% | -59.4% | 1.03 | 0.71 | 37.8x | 74 | 59% |
| ROC 모멘텀 n=22, threshold=0.03 |
39.2% | -54.6% | 1.03 | 0.72 | 30.1x | 201 | 49% |
| ADX / DI 방향성 period=27, threshold=14 |
34.0% | -51.3% | 0.98 | 0.66 | 20.4x | 78 | 31% |
| SMA 크로스오버 fast=56, slow=126 |
44.0% | -80.0% | 0.95 | 0.55 | 42.7x | 15 | 53% |
| Donchian 채널 돌파 entryN=51, exitN=73 |
42.3% | -80.0% | 0.94 | 0.53 | 37.8x | 13 | 57% |
| Parabolic SAR step=0.04, maxStep=0.14 |
25.7% | -65.2% | 0.79 | 0.39 | 10.6x | 272 | 56% |
| Buy and hold | 40.4% | -80.0% | 0.87 | 0.51 | 33.0x | 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, 5× band
- Sell — Sell when price drops below the trend line (flips down)