Trend-Following Backtester · Guide · backtest 한국어
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iFreeETF Nikkei225 Leveraged Index Units 2014-Without Fixed maturity backtest
10 trend-following strategies were compared on the full daily history of iFreeETF Nikkei225 Leveraged Index Units 2014-Without Fixed maturity. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -17.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -7.0%, drawdown -96.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.9%, MDD -35.1%, Sharpe 0.61, 31% exposure.
CAGR reference leader: Supertrend — CAGR 12.4%, MDD -42.4%, exposure 56%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.0%p higher than buy and hold, while drawdown improves by 61.0%p (CAGR 4.8%, MDD -17.8%, exposure 10%).
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=55, atrPeriod=28, mult=3.8 |
9.9% | -35.1% | 0.61 | 0.28 | 3.0x | 30 | 31% |
| Supertrend period=10, mult=4.1 |
12.4% | -42.4% | 0.61 | 0.29 | 3.9x | 58 | 56% |
| Donchian 채널 돌파 entryN=118, exitN=15 |
8.6% | -26.5% | 0.60 | 0.33 | 2.6x | 30 | 23% |
| SMA 크로스오버 fast=19, slow=24 |
11.6% | -47.0% | 0.55 | 0.25 | 3.6x | 147 | 58% |
| 볼린저 밴드 돌파 n=42, k=2.6 |
7.1% | -23.9% | 0.53 | 0.30 | 2.2x | 22 | 15% |
| ADX / DI 방향성 period=17, threshold=31 |
4.8% | -17.8% | 0.49 | 0.27 | 1.7x | 18 | 10% |
| ROC 모멘텀 n=108, threshold=0.24 |
2.3% | -33.6% | 0.22 | 0.07 | 1.3x | 64 | 26% |
| EMA 크로스오버 fast=18, slow=268 |
-14.9% | -96.1% | 0.18 | -0.16 | 0.2x | 20 | 62% |
| MACD fast=19, slow=57, signal=18 |
-17.6% | -96.9% | 0.09 | -0.18 | 0.1x | 107 | 50% |
| Parabolic SAR step=0.03, maxStep=0.2 |
-18.8% | -96.2% | 0.05 | -0.20 | 0.1x | 282 | 56% |
| Buy and hold | -7.0% | -96.1% | 0.42 | -0.07 | 0.4x | 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 55-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average