Trend-Following Backtester · Guide · backtest 한국어
etf · JP
MAXIS TOPIX ETF Units backtest
10 trend-following strategies were compared on the full daily history of MAXIS TOPIX ETF Units. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -35.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.0%, MDD -15.6%, Sharpe 0.57, 21% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.4%, MDD -33.2%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=2.5 |
4.0% | -15.6% | 0.57 | 0.26 | 2.0x | 34 | 21% |
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.07 |
7.4% | -33.2% | 0.50 | 0.22 | 3.4x | 55 | 98% |
| Donchian 채널 돌파 entryN=83, exitN=69 |
5.5% | -22.6% | 0.49 | 0.24 | 2.5x | 27 | 57% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=28, mult=3 |
3.4% | -21.4% | 0.45 | 0.16 | 1.8x | 64 | 30% |
| SMA 크로스오버 fast=54, slow=153 |
5.7% | -34.6% | 0.44 | 0.17 | 2.6x | 21 | 60% |
| EMA 크로스오버 fast=35, slow=121 |
5.2% | -30.7% | 0.42 | 0.17 | 2.4x | 33 | 62% |
| Supertrend period=18, mult=4.5 |
3.6% | -36.2% | 0.36 | 0.10 | 1.8x | 83 | 60% |
| ADX / DI 방향성 period=34, threshold=24 |
0.8% | -20.4% | 0.21 | 0.04 | 1.2x | 10 | 5% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-0.6% | -45.6% | 0.02 | -0.01 | 0.9x | 156 | 60% |
| MACD fast=19, slow=53, signal=17 |
-3.3% | -47.9% | -0.23 | -0.07 | 0.6x | 202 | 52% |
| Buy and hold | 9.3% | -35.3% | 0.56 | 0.26 | 4.6x | 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 49-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 49-day middle average