Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS TOPIX ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX ETF. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -8.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR -4.3%, drawdown -97.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.1%, MDD -12.3%, Sharpe 0.68, 13% exposure.
CAGR reference leader: Supertrend — CAGR 4.6%, MDD -34.2%, exposure 61%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 85.2%p (CAGR 0.7%, MDD -8.8%, exposure 4%).
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=45, k=2.7 |
4.1% | -12.3% | 0.68 | 0.34 | 2.0x | 16 | 13% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=27, mult=3.4 |
3.4% | -20.9% | 0.44 | 0.16 | 1.8x | 52 | 26% |
| Supertrend period=33, mult=4.4 |
4.6% | -34.2% | 0.41 | 0.13 | 2.2x | 85 | 61% |
| Donchian 채널 돌파 entryN=112, exitN=18 |
2.7% | -22.8% | 0.36 | 0.12 | 1.6x | 52 | 27% |
| ADX / DI 방향성 period=16, threshold=36 |
0.7% | -8.8% | 0.25 | 0.09 | 1.1x | 16 | 4% |
| SMA 크로스오버 fast=58, slow=197 |
-8.1% | -98.1% | 0.22 | -0.08 | 0.2x | 25 | 56% |
| EMA 크로스오버 fast=45, slow=198 |
-8.9% | -98.7% | 0.21 | -0.09 | 0.2x | 25 | 59% |
| MACD fast=8, slow=20, signal=15 |
-2.0% | -53.6% | -0.11 | -0.04 | 0.7x | 336 | 52% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-13.3% | -95.0% | -0.23 | -0.14 | 0.1x | 296 | 57% |
| ROC 모멘텀 n=96, threshold=0.11 |
-13.0% | -94.5% | -0.24 | -0.14 | 0.1x | 140 | 25% |
| Buy and hold | -4.3% | -97.5% | 0.24 | -0.04 | 0.5x | 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 45-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 45-day middle average