Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS Nomura Japan Equity High Dividend 70 Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS Nomura Japan Equity High Dividend 70 Exchange Traded Fund. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 9.5%, MDD -30.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -41.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.5%, MDD -30.0%, Sharpe 0.70, 78% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 11.3%p (CAGR 9.5%, MDD -30.0%, exposure 78%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=167, threshold=-0.06 |
9.5% | -30.0% | 0.70 | 0.32 | 3.4x | 35 | 78% |
| SMA 크로스오버 fast=45, slow=171 |
9.0% | -33.9% | 0.69 | 0.26 | 3.2x | 15 | 65% |
| EMA 크로스오버 fast=23, slow=192 |
8.5% | -28.8% | 0.66 | 0.30 | 3.0x | 19 | 70% |
| Donchian 채널 돌파 entryN=64, exitN=103 |
7.3% | -34.7% | 0.59 | 0.21 | 2.6x | 13 | 71% |
| Supertrend period=26, mult=4.4 |
6.6% | -26.0% | 0.59 | 0.25 | 2.4x | 65 | 65% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=34, mult=2.1 |
2.8% | -22.8% | 0.37 | 0.12 | 1.5x | 79 | 37% |
| ADX / DI 방향성 period=16, threshold=23 |
2.1% | -19.7% | 0.35 | 0.11 | 1.3x | 80 | 19% |
| 볼린저 밴드 돌파 n=26, k=3.1 |
0.9% | -10.4% | 0.32 | 0.09 | 1.1x | 8 | 4% |
| Parabolic SAR step=0.015, maxStep=0.32 |
2.1% | -34.5% | 0.24 | 0.06 | 1.3x | 227 | 60% |
| MACD fast=11, slow=26, signal=11 |
-0.8% | -43.5% | -0.02 | -0.02 | 0.9x | 237 | 53% |
| Buy and hold | 10.9% | -41.3% | 0.66 | 0.26 | 4.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 167-day return is greater than -6%
- Sell — Sell when the 167-day return drops to -6% or below