Trend-Following Backtester · Guide · backtest 한국어
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MIRAE ASSET TIGER SECONDARY CELL ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER SECONDARY CELL ETF. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 17.4%, MDD -32.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.1%, drawdown -71.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.6%, MDD -47.4%, Sharpe 1.02, 39% exposure.
CAGR reference leader: MACD — CAGR 24.8%, MDD -50.3%, exposure 50%.
Return/drawdown alternative: Parabolic SAR — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 17.4%, MDD -32.3%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=1.3 |
22.6% | -47.4% | 1.02 | 0.48 | 5.1x | 59 | 39% |
| MACD fast=9, slow=55, signal=16 |
24.8% | -50.3% | 1.02 | 0.49 | 5.8x | 85 | 50% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=1.1 |
17.1% | -46.6% | 0.87 | 0.37 | 3.5x | 90 | 35% |
| ADX / DI 방향성 period=12, threshold=15 |
17.9% | -49.9% | 0.82 | 0.36 | 3.7x | 122 | 44% |
| Supertrend period=17, mult=2.9 |
17.3% | -51.0% | 0.80 | 0.34 | 3.6x | 61 | 47% |
| ROC 모멘텀 n=145, threshold=0.14 |
16.7% | -49.6% | 0.77 | 0.34 | 3.4x | 16 | 38% |
| SMA 크로스오버 fast=3, slow=143 |
17.5% | -34.5% | 0.76 | 0.51 | 3.6x | 24 | 47% |
| Parabolic SAR step=0.025, maxStep=0.3 |
17.4% | -32.3% | 0.76 | 0.54 | 3.6x | 187 | 52% |
| EMA 크로스오버 fast=5, slow=86 |
14.1% | -37.4% | 0.65 | 0.38 | 2.9x | 40 | 49% |
| Donchian 채널 돌파 entryN=81, exitN=68 |
13.8% | -35.8% | 0.64 | 0.39 | 2.8x | 8 | 46% |
| Buy and hold | 9.1% | -71.8% | 0.42 | 0.13 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 25-day middle average