Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Rakuten ETF - Nikkei 225 Leveraged Index backtest
10 trend-following strategies were compared on the full daily history of Rakuten ETF - Nikkei 225 Leveraged Index. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.4%, MDD -41.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.9%, drawdown -54.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 19.8%, MDD -57.0%, Sharpe 0.74, 63% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by -2.7%p (CAGR 16.4%, MDD -41.2%, exposure 58%).
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=47, slow=246 |
19.8% | -57.0% | 0.74 | 0.35 | 7.5x | 17 | 63% |
| Supertrend period=7, mult=3.8 |
15.3% | -35.2% | 0.69 | 0.43 | 4.9x | 64 | 53% |
| ROC 모멘텀 n=190, threshold=0.04 |
16.4% | -41.2% | 0.67 | 0.40 | 5.4x | 73 | 58% |
| Donchian 채널 돌파 entryN=18, exitN=54 |
17.3% | -45.4% | 0.65 | 0.38 | 5.9x | 35 | 78% |
| 볼린저 밴드 돌파 n=33, k=2.7 |
9.4% | -26.0% | 0.65 | 0.36 | 2.7x | 28 | 19% |
| MACD fast=31, slow=33, signal=18 |
14.2% | -39.8% | 0.65 | 0.36 | 4.4x | 98 | 50% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=12, mult=3.4 |
11.0% | -31.8% | 0.63 | 0.35 | 3.2x | 38 | 30% |
| EMA 크로스오버 fast=16, slow=274 |
15.3% | -45.3% | 0.62 | 0.34 | 4.9x | 19 | 69% |
| ADX / DI 방향성 period=16, threshold=30 |
4.9% | -18.1% | 0.44 | 0.27 | 1.7x | 24 | 12% |
| Parabolic SAR step=0.03, maxStep=0.38 |
7.6% | -49.8% | 0.41 | 0.15 | 2.3x | 280 | 57% |
| Buy and hold | 20.9% | -54.3% | 0.67 | 0.38 | 8.3x | 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 47-day average price crosses above the 246-day average
- Sell — Sell (to cash) when the 47-day average falls below the 246-day average