Trend-Following Backtester · Guide · backtest 한국어
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NEXT FUNDS Tokyo Stock Exchange REIT Index ETF Units backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS Tokyo Stock Exchange REIT Index ETF Units. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.0%, MDD -18.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.0%, drawdown -48.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.7%, MDD -19.3%, Sharpe 0.68, 21% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.8%, MDD -26.8%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 5.0%, MDD -18.9%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=11, mult=4 |
4.7% | -19.3% | 0.68 | 0.24 | 2.3x | 30 | 21% |
| SMA 크로스오버 fast=54, slow=100 |
6.8% | -26.8% | 0.62 | 0.25 | 3.2x | 40 | 56% |
| Donchian 채널 돌파 entryN=73, exitN=31 |
5.0% | -18.9% | 0.58 | 0.26 | 2.4x | 38 | 40% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
2.8% | -31.6% | 0.43 | 0.09 | 1.6x | 30 | 19% |
| ADX / DI 방향성 period=23, threshold=25 |
2.4% | -22.7% | 0.41 | 0.11 | 1.5x | 44 | 15% |
| EMA 크로스오버 fast=33, slow=59 |
3.9% | -26.6% | 0.41 | 0.15 | 2.0x | 45 | 56% |
| Supertrend period=22, mult=4.8 |
3.0% | -44.3% | 0.30 | 0.07 | 1.7x | 63 | 60% |
| ROC 모멘텀 n=90, threshold=-0.03 |
1.9% | -49.5% | 0.22 | 0.04 | 1.4x | 156 | 68% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.5% | -35.3% | 0.19 | 0.04 | 1.3x | 131 | 56% |
| MACD fast=17, slow=29, signal=18 |
0.6% | -56.9% | 0.11 | 0.01 | 1.1x | 209 | 50% |
| Buy and hold | 3.0% | -48.9% | 0.25 | 0.06 | 1.7x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 47-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 47-day average