Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iShares Core Nikkei 225 ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core Nikkei 225 ETF. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.8%, MDD -9.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.7%, drawdown -91.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.0%, MDD -13.2%, Sharpe 0.57, 11% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 78.1%p (CAGR 1.8%, MDD -9.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=24 |
4.0% | -13.2% | 0.57 | 0.30 | 2.0x | 28 | 11% |
| 볼린저 밴드 돌파 n=22, k=2.4 |
3.7% | -20.8% | 0.48 | 0.18 | 1.9x | 76 | 21% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=29, mult=3.5 |
1.8% | -9.0% | 0.41 | 0.20 | 1.4x | 26 | 7% |
| ROC 모멘텀 n=153, threshold=0.13 |
2.7% | -29.6% | 0.29 | 0.09 | 1.6x | 87 | 32% |
| Donchian 채널 돌파 entryN=16, exitN=48 |
-5.3% | -91.7% | 0.15 | -0.06 | 0.4x | 65 | 80% |
| Supertrend period=27, mult=4.7 |
-6.0% | -92.2% | 0.11 | -0.07 | 0.3x | 80 | 59% |
| SMA 크로스오버 fast=54, slow=129 |
-6.2% | -90.7% | 0.11 | -0.07 | 0.3x | 37 | 61% |
| EMA 크로스오버 fast=40, slow=219 |
-6.8% | -91.2% | 0.09 | -0.07 | 0.3x | 27 | 55% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-9.0% | -93.9% | -0.01 | -0.10 | 0.2x | 146 | 58% |
| MACD fast=19, slow=54, signal=18 |
-10.2% | -92.5% | -0.07 | -0.11 | 0.2x | 176 | 53% |
| Buy and hold | -1.7% | -91.4% | 0.29 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)