Trend-Following Backtester · Guide · backtest 한국어
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NEXT FUNDS NASDAQ-100(R) ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS NASDAQ-100(R) ETF. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.2%, MDD -6.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR -11.4%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.2%, MDD -6.7%, Sharpe 0.44, 2% exposure.
CAGR reference leader: Parabolic SAR — CAGR 5.6%, MDD -30.7%, exposure 62%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.5%p higher than buy and hold, while drawdown improves by 93.3%p (CAGR 1.2%, MDD -6.7%, exposure 2%).
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=22, k=3 |
1.2% | -6.7% | 0.44 | 0.18 | 1.2x | 4 | 2% |
| Parabolic SAR step=0.015, maxStep=0.36 |
5.6% | -30.7% | 0.43 | 0.18 | 2.4x | 272 | 62% |
| Donchian 채널 돌파 entryN=15, exitN=85 |
-15.1% | -99.5% | 0.40 | -0.15 | 0.1x | 27 | 91% |
| ROC 모멘텀 n=339, threshold=-0.02 |
-15.1% | -99.5% | 0.40 | -0.15 | 0.1x | 32 | 84% |
| EMA 크로스오버 fast=55, slow=210 |
-15.5% | -100.0% | 0.25 | -0.16 | 0.1x | 14 | 80% |
| SMA 크로스오버 fast=51, slow=202 |
-16.1% | -100.0% | 0.25 | -0.16 | 0.1x | 18 | 76% |
| Supertrend period=19, mult=4.1 |
-19.1% | -99.5% | 0.24 | -0.19 | 0.0x | 106 | 69% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=1.7 |
-20.8% | -99.5% | 0.16 | -0.21 | 0.0x | 122 | 60% |
| MACD fast=26, slow=32, signal=35 |
-23.0% | -99.5% | 0.06 | -0.23 | 0.0x | 137 | 52% |
| ADX / DI 방향성 period=30, threshold=8 |
-25.9% | -99.5% | -0.07 | -0.26 | 0.0x | 232 | 60% |
| Buy and hold | -11.4% | -100.0% | 0.26 | -0.11 | 0.1x | 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 22-day average (3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average