Trend-Following Backtester · Guide · backtest 한국어
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NEXT FUNDS TOPIX Core 30 ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX Core 30 ETF. 3 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 4.7%, MDD -16.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 4.8%, drawdown -61.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.7%, MDD -16.9%, Sharpe 0.63, 21% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.8%, MDD -37.0%, exposure 60%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 44.1%p (CAGR 4.7%, MDD -16.9%, exposure 21%).
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=57, k=2.7 |
4.7% | -16.9% | 0.63 | 0.28 | 2.4x | 29 | 21% |
| Donchian 채널 돌파 entryN=111, exitN=34 |
5.2% | -23.9% | 0.53 | 0.22 | 2.6x | 33 | 36% |
| EMA 크로스오버 fast=72, slow=379 |
6.8% | -37.0% | 0.51 | 0.18 | 3.4x | 7 | 60% |
| SMA 크로스오버 fast=52, slow=189 |
4.9% | -40.5% | 0.39 | 0.12 | 2.4x | 25 | 56% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=3.5 |
1.4% | -9.4% | 0.37 | 0.15 | 1.3x | 18 | 5% |
| ADX / DI 방향성 period=19, threshold=38 |
0.6% | -3.5% | 0.37 | 0.18 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=43, threshold=-0.07 |
4.0% | -45.5% | 0.32 | 0.09 | 2.1x | 123 | 85% |
| Supertrend period=14, mult=5 |
2.8% | -39.2% | 0.28 | 0.07 | 1.7x | 75 | 53% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.5% | -44.1% | 0.03 | -0.01 | 0.9x | 151 | 56% |
| MACD fast=24, slow=33, signal=18 |
-2.5% | -46.1% | -0.13 | -0.05 | 0.6x | 211 | 51% |
| Buy and hold | 4.8% | -61.1% | 0.32 | 0.08 | 2.4x | 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 57-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 57-day middle average