Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Next Funds Nikkei 225 ETF backtest
10 trend-following strategies were compared on the full daily history of Next Funds Nikkei 225 ETF. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -31.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.5%, MDD -31.5%, Sharpe 0.63, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.09 |
11.5% | -31.5% | 0.63 | 0.37 | 6.8x | 3 | 100% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=29, mult=2.9 |
6.0% | -19.6% | 0.61 | 0.30 | 2.8x | 70 | 31% |
| Supertrend period=21, mult=4.2 |
8.1% | -32.3% | 0.61 | 0.25 | 3.9x | 88 | 62% |
| 볼린저 밴드 돌파 n=39, k=2.6 |
4.7% | -27.7% | 0.60 | 0.17 | 2.3x | 34 | 16% |
| SMA 크로스오버 fast=74, slow=271 |
7.4% | -38.6% | 0.52 | 0.19 | 3.5x | 17 | 64% |
| EMA 크로스오버 fast=24, slow=204 |
7.2% | -31.3% | 0.51 | 0.23 | 3.4x | 29 | 67% |
| Donchian 채널 돌파 entryN=17, exitN=47 |
6.7% | -39.7% | 0.47 | 0.17 | 3.2x | 65 | 78% |
| MACD fast=39, slow=74, signal=28 |
3.8% | -29.5% | 0.36 | 0.13 | 1.9x | 102 | 52% |
| ADX / DI 방향성 period=27, threshold=21 |
2.2% | -21.3% | 0.32 | 0.10 | 1.5x | 42 | 13% |
| Parabolic SAR step=0.02, maxStep=0.14 |
0.3% | -45.4% | 0.09 | 0.01 | 1.1x | 338 | 58% |
| Buy and hold | 12.0% | -31.5% | 0.65 | 0.38 | 7.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -9%
- Sell — Sell when the 1-day return drops to -9% or below