Trend-Following Backtester · Guide · backtest 한국어
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Mirae Asset Tiger KRX Bio K-New Deal ETF backtest
10 trend-following strategies were compared on the full daily history of Mirae Asset Tiger KRX Bio K-New Deal ETF. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -3.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.0%, drawdown -62.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.6%, MDD -20.0%, Sharpe 0.18, 36% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 0.3%, MDD -3.9%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=23, slow=215 |
1.6% | -20.0% | 0.18 | 0.08 | 1.1x | 6 | 36% |
| ADX / DI 방향성 period=28, threshold=32 |
0.3% | -3.9% | 0.13 | 0.08 | 1.0x | 2 | 1% |
| EMA 크로스오버 fast=33, slow=173 |
0.3% | -20.0% | 0.12 | 0.02 | 1.0x | 8 | 37% |
| Supertrend period=17, mult=3.8 |
-1.0% | -35.7% | 0.02 | -0.03 | 0.9x | 26 | 39% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
-1.2% | -21.6% | -0.01 | -0.06 | 0.9x | 22 | 29% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=13, mult=1.5 |
-1.0% | -29.5% | -0.03 | -0.04 | 0.9x | 44 | 20% |
| ROC 모멘텀 n=109, threshold=-0.09 |
-3.5% | -41.0% | -0.04 | -0.09 | 0.8x | 42 | 63% |
| Donchian 채널 돌파 entryN=58, exitN=24 |
-3.9% | -24.7% | -0.17 | -0.16 | 0.8x | 16 | 29% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-8.5% | -51.7% | -0.39 | -0.16 | 0.6x | 54 | 46% |
| MACD fast=20, slow=27, signal=15 |
-12.0% | -58.5% | -0.53 | -0.20 | 0.5x | 69 | 49% |
| Buy and hold | -7.0% | -62.6% | -0.08 | -0.11 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 23-day average price crosses above the 215-day average
- Sell — Sell (to cash) when the 23-day average falls below the 215-day average