Trend-Following Backtester · Guide · backtest 한국어
etf · KR
MIRAE ASSET TIGER US PHLX Semiconductor Sector Nasdaq ETF backtest
10 trend-following strategies were compared on the full daily history of MIRAE ASSET TIGER US PHLX Semiconductor Sector Nasdaq ETF. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 24.8%, MDD -22.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 29.7%, drawdown -40.1%).
Sharpe leader (same as main): Supertrend — CAGR 31.3%, MDD -34.4%, Sharpe 1.27, 69% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 5.6%p (CAGR 24.8%, MDD -22.6%, exposure 50%).
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=26, mult=4.9 |
31.3% | -34.4% | 1.27 | 0.91 | 4.3x | 22 | 69% |
| MACD fast=26, slow=42, signal=19 |
26.6% | -28.1% | 1.27 | 0.94 | 3.6x | 40 | 49% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
17.4% | -11.1% | 1.25 | 1.57 | 2.4x | 10 | 16% |
| Donchian 채널 돌파 entryN=96, exitN=30 |
24.8% | -22.6% | 1.18 | 1.10 | 3.3x | 12 | 50% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=23, mult=3 |
14.9% | -12.7% | 1.11 | 1.18 | 2.1x | 22 | 20% |
| ROC 모멘텀 n=26, threshold=-0.06 |
26.0% | -47.2% | 1.04 | 0.55 | 3.5x | 58 | 79% |
| EMA 크로스오버 fast=49, slow=121 |
26.9% | -32.1% | 1.02 | 0.84 | 3.6x | 5 | 68% |
| SMA 크로스오버 fast=38, slow=216 |
25.4% | -32.1% | 1.00 | 0.79 | 3.4x | 5 | 62% |
| ADX / DI 방향성 period=19, threshold=13 |
16.9% | -23.4% | 0.89 | 0.72 | 2.3x | 72 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
17.3% | -30.1% | 0.84 | 0.57 | 2.4x | 50 | 60% |
| Buy and hold | 29.7% | -40.1% | 0.95 | 0.74 | 4.1x | 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) — 26-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)