Trend-Following Backtester · Guide · backtest 한국어
equity · KR
TIGER 200 IT backtest
10 trend-following strategies were compared on the full daily history of TIGER 200 IT. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.1%, MDD -36.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 15.9%, drawdown -52.5%).
Sharpe leader (same as main): Supertrend — CAGR 15.1%, MDD -36.6%, Sharpe 0.84, 57% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.1%, MDD -52.5%, exposure 57%.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 16.0%p (CAGR 15.1%, MDD -36.6%, exposure 57%).
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=23, mult=4.6 |
15.1% | -36.6% | 0.84 | 0.41 | 8.7x | 58 | 57% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=16, mult=3.1 |
8.7% | -22.6% | 0.78 | 0.38 | 3.6x | 30 | 10% |
| EMA 크로스오버 fast=11, slow=33 |
14.7% | -36.8% | 0.78 | 0.40 | 8.2x | 104 | 59% |
| 볼린저 밴드 돌파 n=31, k=2.5 |
10.6% | -25.6% | 0.77 | 0.41 | 4.7x | 40 | 17% |
| ADX / DI 방향성 period=24, threshold=15 |
12.1% | -33.7% | 0.77 | 0.36 | 5.8x | 100 | 30% |
| SMA 크로스오버 fast=52, slow=148 |
16.1% | -52.5% | 0.75 | 0.31 | 9.8x | 25 | 57% |
| Donchian 채널 돌파 entryN=52, exitN=56 |
14.3% | -46.2% | 0.73 | 0.31 | 7.8x | 28 | 60% |
| ROC 모멘텀 n=107, threshold=0.07 |
11.4% | -52.5% | 0.61 | 0.22 | 5.2x | 103 | 39% |
| MACD fast=18, slow=56, signal=16 |
9.9% | -38.7% | 0.60 | 0.26 | 4.3x | 152 | 52% |
| Parabolic SAR step=0.01, maxStep=0.32 |
4.6% | -57.9% | 0.34 | 0.08 | 2.0x | 204 | 56% |
| Buy and hold | 15.9% | -52.5% | 0.67 | 0.30 | 9.6x | 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) — 23-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)