Trend-Following Backtester · Guide · backtest 한국어
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TIGER 미국S&P500 backtest
10 trend-following strategies were compared on the full daily history of TIGER 미국S&P500. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.4%, MDD -13.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.6%, drawdown -19.3%).
Sharpe leader (same as main): MACD — CAGR 12.7%, MDD -17.0%, Sharpe 1.40, 51% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.2%, MDD -20.9%, exposure 80%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.9%p lower than buy and hold, while drawdown improves by 2.3%p (CAGR 13.4%, MDD -13.6%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=22, slow=51, signal=23 |
12.7% | -17.0% | 1.40 | 0.75 | 2.0x | 42 | 51% |
| Donchian 채널 돌파 entryN=54, exitN=25 |
13.2% | -8.8% | 1.39 | 1.50 | 2.1x | 16 | 60% |
| 볼린저 밴드 돌파 n=63, k=1.4 |
12.6% | -11.2% | 1.35 | 1.12 | 2.0x | 18 | 58% |
| ROC 모멘텀 n=50, threshold=0.02 |
13.4% | -13.6% | 1.34 | 0.98 | 2.1x | 36 | 64% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=2.3 |
12.7% | -15.2% | 1.30 | 0.83 | 2.0x | 22 | 63% |
| EMA 크로스오버 fast=47, slow=61 |
15.2% | -20.9% | 1.26 | 0.73 | 2.3x | 9 | 80% |
| SMA 크로스오버 fast=14, slow=97 |
12.4% | -19.2% | 1.10 | 0.65 | 2.0x | 15 | 73% |
| Supertrend period=23, mult=3.5 |
10.4% | -16.1% | 0.96 | 0.64 | 1.8x | 44 | 72% |
| Parabolic SAR step=0.005, maxStep=0.24 |
9.3% | -18.9% | 0.93 | 0.49 | 1.7x | 52 | 66% |
| ADX / DI 방향성 period=32, threshold=15 |
4.9% | -14.4% | 0.67 | 0.34 | 1.3x | 30 | 39% |
| Buy and hold | 17.6% | -19.3% | 1.15 | 0.91 | 2.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (22/51) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line