Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iFreeETF TOPIX (Yearly Dividend Type) backtest
10 trend-following strategies were compared on the full daily history of iFreeETF TOPIX (Yearly Dividend Type). 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.6%, MDD -14.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -51.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.6%, MDD -14.8%, Sharpe 0.69, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.7%, MDD -38.1%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 36.9%p (CAGR 4.6%, MDD -14.8%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=2.7 |
4.6% | -14.8% | 0.69 | 0.31 | 2.3x | 22 | 18% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=3 |
4.2% | -19.4% | 0.51 | 0.22 | 2.2x | 66 | 30% |
| Donchian 채널 돌파 entryN=112, exitN=76 |
4.9% | -37.2% | 0.45 | 0.13 | 2.5x | 23 | 52% |
| SMA 크로스오버 fast=63, slow=183 |
5.7% | -38.1% | 0.45 | 0.15 | 2.8x | 29 | 58% |
| EMA 크로스오버 fast=38, slow=218 |
4.2% | -36.1% | 0.36 | 0.12 | 2.2x | 29 | 60% |
| ADX / DI 방향성 period=23, threshold=22 |
1.5% | -10.2% | 0.29 | 0.15 | 1.3x | 50 | 13% |
| Supertrend period=7, mult=4.8 |
2.5% | -26.9% | 0.27 | 0.09 | 1.6x | 81 | 51% |
| ROC 모멘텀 n=134, threshold=0.07 |
1.5% | -41.6% | 0.19 | 0.04 | 1.3x | 110 | 39% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.2% | -49.8% | -0.19 | -0.07 | 0.5x | 171 | 57% |
| MACD fast=19, slow=40, signal=19 |
-3.7% | -58.6% | -0.24 | -0.06 | 0.5x | 223 | 52% |
| Buy and hold | 6.1% | -51.7% | 0.39 | 0.12 | 3.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 53-day middle average