Trend-Following Backtester · Guide · backtest 한국어
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NEXT FUNDS Nikkei 225 Double Inverse ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS Nikkei 225 Double Inverse ETF. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -3.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR -4.8%, drawdown -99.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.2%, MDD -99.4%, Sharpe 0.29, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 23.0%p higher than buy and hold, while drawdown improves by 0.4%p (CAGR 0.2%, MDD -3.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=41, slow=45 |
18.2% | -99.4% | 0.29 | 0.18 | 7.5x | 116 | 32% |
| ROC 모멘텀 n=54, threshold=-0.08 |
8.9% | -99.4% | 0.29 | 0.09 | 2.8x | 179 | 48% |
| ADX / DI 방향성 period=37, threshold=31 |
0.2% | -3.5% | 0.11 | 0.05 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=3.1 |
-33.5% | -99.3% | -0.29 | -0.34 | 0.0x | 22 | 3% |
| Donchian 채널 돌파 entryN=105, exitN=16 |
-36.1% | -99.6% | -0.35 | -0.36 | 0.0x | 18 | 8% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
-36.4% | -99.7% | -0.35 | -0.36 | 0.0x | 24 | 8% |
| EMA 크로스오버 fast=59, slow=80 |
-38.3% | -99.7% | -0.48 | -0.38 | 0.0x | 22 | 13% |
| Supertrend period=14, mult=4.2 |
-41.9% | -99.9% | -0.51 | -0.42 | 0.0x | 59 | 28% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-45.0% | -99.9% | -0.63 | -0.45 | 0.0x | 217 | 34% |
| MACD fast=12, slow=25, signal=14 |
-48.7% | -100.0% | -0.69 | -0.49 | 0.0x | 191 | 51% |
| Buy and hold | -4.8% | -99.8% | 0.29 | -0.05 | 0.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 41-day average price crosses above the 45-day average
- Sell — Sell (to cash) when the 41-day average falls below the 45-day average