Trend-Following Backtester · Guide · backtest 한국어
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TIGER 미국테크TOP10 INDXX backtest
10 trend-following strategies were compared on the full daily history of TIGER 미국테크TOP10 INDXX. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 26.7%, MDD -15.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 23.2%, drawdown -40.6%).
Sharpe leader (same as main): Supertrend — CAGR 33.4%, MDD -16.2%, Sharpe 2.02, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 24.4%p (CAGR 26.7%, MDD -15.6%, 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=24, mult=4.3 |
33.4% | -16.2% | 2.02 | 2.06 | 4.6x | 24 | 61% |
| 볼린저 밴드 돌파 n=21, k=1.4 |
26.7% | -15.6% | 1.89 | 1.72 | 3.5x | 40 | 50% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=21, mult=1.1 |
27.6% | -16.6% | 1.81 | 1.66 | 3.7x | 44 | 57% |
| ROC 모멘텀 n=30, threshold=-0.02 |
30.9% | -17.1% | 1.77 | 1.80 | 4.2x | 46 | 69% |
| SMA 크로스오버 fast=15, slow=30 |
27.7% | -15.9% | 1.71 | 1.75 | 3.7x | 30 | 61% |
| Donchian 채널 돌파 entryN=88, exitN=13 |
18.7% | -9.6% | 1.67 | 1.94 | 2.5x | 16 | 37% |
| Parabolic SAR step=0.005, maxStep=0.3 |
25.6% | -18.0% | 1.62 | 1.42 | 3.4x | 40 | 60% |
| MACD fast=18, slow=50, signal=16 |
21.8% | -18.9% | 1.55 | 1.15 | 2.8x | 42 | 47% |
| ADX / DI 방향성 period=17, threshold=14 |
22.1% | -22.2% | 1.48 | 0.99 | 2.9x | 56 | 56% |
| EMA 크로스오버 fast=53, slow=54 |
19.1% | -24.4% | 1.10 | 0.78 | 2.5x | 9 | 70% |
| Buy and hold | 23.2% | -40.6% | 1.00 | 0.57 | 3.0x | 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) — 24-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)