Trend-Following Backtester · Guide · backtest 한국어
equity · KR
TIGER 미국필라델피아반도체나스닥 backtest
10 trend-following strategies were compared on the full daily history of TIGER 미국필라델피아반도체나스닥. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 25.3%, MDD -22.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 31.7%, drawdown -40.1%).
Sharpe leader (same as main): Supertrend — CAGR 31.8%, MDD -34.4%, Sharpe 1.28, 70% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 5.6%p (CAGR 25.3%, MDD -22.6%, exposure 51%).
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 |
31.8% | -34.4% | 1.28 | 0.92 | 4.3x | 22 | 70% |
| MACD fast=26, slow=42, signal=19 |
27.1% | -28.1% | 1.28 | 0.96 | 3.6x | 40 | 50% |
| 볼린저 밴드 돌파 n=25, k=2.7 |
17.7% | -11.1% | 1.26 | 1.60 | 2.4x | 10 | 17% |
| Donchian 채널 돌파 entryN=96, exitN=30 |
25.3% | -22.6% | 1.19 | 1.12 | 3.3x | 12 | 51% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=23, mult=3 |
15.2% | -12.7% | 1.11 | 1.20 | 2.1x | 22 | 20% |
| EMA 크로스오버 fast=49, slow=121 |
28.8% | -32.1% | 1.08 | 0.90 | 3.8x | 5 | 67% |
| SMA 크로스오버 fast=38, slow=216 |
27.3% | -32.1% | 1.06 | 0.85 | 3.6x | 5 | 61% |
| ROC 모멘텀 n=26, threshold=-0.06 |
26.8% | -47.2% | 1.06 | 0.57 | 3.5x | 56 | 81% |
| ADX / DI 방향성 period=19, threshold=13 |
17.2% | -23.4% | 0.90 | 0.73 | 2.3x | 72 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
17.6% | -30.1% | 0.84 | 0.58 | 2.4x | 50 | 61% |
| Buy and hold | 31.7% | -40.1% | 1.00 | 0.79 | 4.3x | 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)