Trend-Following Backtester · Guide · backtest 한국어
etf · JP
MAXIS Nikkei 225 ETF backtest
10 trend-following strategies were compared on the full daily history of MAXIS Nikkei 225 ETF. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.4%, drawdown -31.6%).
Sharpe leader (same as main): Supertrend — CAGR 8.1%, MDD -33.2%, Sharpe 0.64, 59% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=4.2 |
8.1% | -33.2% | 0.64 | 0.24 | 3.9x | 92 | 59% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=22, mult=3.1 |
5.3% | -19.4% | 0.56 | 0.27 | 2.5x | 68 | 30% |
| 볼린저 밴드 돌파 n=43, k=2.7 |
3.5% | -21.8% | 0.51 | 0.16 | 1.8x | 24 | 13% |
| EMA 크로스오버 fast=15, slow=246 |
6.4% | -34.7% | 0.46 | 0.18 | 3.0x | 35 | 67% |
| SMA 크로스오버 fast=49, slow=202 |
6.0% | -37.2% | 0.44 | 0.16 | 2.8x | 27 | 62% |
| Donchian 채널 돌파 entryN=15, exitN=39 |
5.8% | -40.8% | 0.42 | 0.14 | 2.7x | 80 | 79% |
| ADX / DI 방향성 period=28, threshold=20 |
2.2% | -18.2% | 0.32 | 0.12 | 1.5x | 42 | 14% |
| ROC 모멘텀 n=141, threshold=0.14 |
2.7% | -29.4% | 0.29 | 0.09 | 1.6x | 85 | 29% |
| Parabolic SAR step=0.02, maxStep=0.16 |
0.4% | -48.0% | 0.10 | 0.01 | 1.1x | 336 | 59% |
| MACD fast=23, slow=40, signal=24 |
0.3% | -40.5% | 0.09 | 0.01 | 1.1x | 166 | 51% |
| Buy and hold | 13.4% | -31.6% | 0.71 | 0.43 | 9.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)