Trend-Following Backtester · Guide · backtest 한국어
etf · JP
TOPIX Bull 2x ETF backtest
10 trend-following strategies were compared on the full daily history of TOPIX Bull 2x ETF. 7 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 11.2%, MDD -23.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -10.4%, drawdown -100.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.2%, MDD -23.0%, Sharpe 0.85, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.9%, MDD -71.9%, exposure 64%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 21.6%p higher than buy and hold, while drawdown improves by 77.0%p (CAGR 11.2%, MDD -23.0%, exposure 15%).
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=48, k=3 |
11.2% | -23.0% | 0.85 | 0.49 | 4.6x | 12 | 15% |
| ADX / DI 방향성 period=21, threshold=19 |
9.0% | -26.5% | 0.65 | 0.34 | 3.5x | 70 | 22% |
| SMA 크로스오버 fast=51, slow=72 |
13.9% | -71.9% | 0.60 | 0.19 | 6.5x | 63 | 64% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=23, mult=2.6 |
7.7% | -33.2% | 0.53 | 0.23 | 2.9x | 70 | 32% |
| ROC 모멘텀 n=57, threshold=0.1 |
6.4% | -44.4% | 0.42 | 0.14 | 2.4x | 207 | 38% |
| Supertrend period=27, mult=4.9 |
6.8% | -73.2% | 0.40 | 0.09 | 2.6x | 59 | 55% |
| Donchian 채널 돌파 entryN=45, exitN=7 |
4.4% | -32.0% | 0.36 | 0.14 | 1.9x | 106 | 28% |
| EMA 크로스오버 fast=47, slow=111 |
-17.2% | -100.0% | 0.27 | -0.17 | 0.1x | 21 | 59% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-23.5% | -99.3% | 0.03 | -0.24 | 0.0x | 283 | 58% |
| MACD fast=12, slow=22, signal=10 |
-26.8% | -99.5% | -0.09 | -0.27 | 0.0x | 283 | 53% |
| Buy and hold | -10.4% | -100.0% | 0.27 | -0.10 | 0.2x | 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 48-day average (3× volatility)
- Sell — Sell when the close falls back to the 48-day middle average