Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Nikkei 225 Bear -1x ETF backtest
10 trend-following strategies were compared on the full daily history of Nikkei 225 Bear -1x ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -1.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -17.3%, drawdown -93.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -1.9%, Sharpe 0.08, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.4%p higher than buy and hold, while drawdown improves by 91.6%p (CAGR 0.1%, MDD -1.9%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=33 |
0.1% | -1.9% | 0.08 | 0.03 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=28, mult=3.3 |
-0.9% | -24.4% | -0.09 | -0.04 | 0.9x | 14 | 2% |
| Donchian 채널 돌파 entryN=109, exitN=5 |
-2.5% | -32.3% | -0.24 | -0.08 | 0.7x | 22 | 3% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-2.6% | -39.4% | -0.27 | -0.07 | 0.7x | 10 | 4% |
| ROC 모멘텀 n=146, threshold=0.09 |
-2.3% | -36.9% | -0.30 | -0.06 | 0.7x | 16 | 3% |
| SMA 크로스오버 fast=16, slow=204 |
-4.8% | -54.0% | -0.41 | -0.09 | 0.5x | 22 | 14% |
| EMA 크로스오버 fast=28, slow=189 |
-4.5% | -50.9% | -0.42 | -0.09 | 0.5x | 14 | 9% |
| Supertrend period=15, mult=4.3 |
-7.8% | -69.4% | -0.45 | -0.11 | 0.3x | 63 | 31% |
| MACD fast=19, slow=53, signal=19 |
-14.5% | -88.9% | -0.82 | -0.16 | 0.1x | 135 | 52% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-14.9% | -89.9% | -0.92 | -0.17 | 0.1x | 259 | 38% |
| Buy and hold | -17.3% | -93.5% | -0.77 | -0.19 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)