Trend-Following Backtester · Guide · backtest 한국어
etf · JP
MAXIS JPX-Nikkei Index 400 ETF backtest
10 trend-following strategies were compared on the full daily history of MAXIS JPX-Nikkei Index 400 ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.8%, drawdown -31.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -31.1%, Sharpe 0.66, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.7%, MDD -31.8%, exposure 98%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=57, slow=211 |
8.0% | -31.1% | 0.66 | 0.26 | 2.6x | 15 | 61% |
| ROC 모멘텀 Hold-like · Exposure 98% n=9, threshold=-0.08 |
9.7% | -31.8% | 0.65 | 0.30 | 3.2x | 25 | 98% |
| Donchian 채널 돌파 entryN=104, exitN=68 |
6.6% | -23.1% | 0.62 | 0.28 | 2.2x | 15 | 54% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
2.5% | -7.5% | 0.57 | 0.34 | 1.4x | 6 | 9% |
| EMA 크로스오버 fast=34, slow=173 |
6.0% | -31.9% | 0.51 | 0.19 | 2.1x | 21 | 68% |
| Supertrend period=14, mult=4.9 |
3.9% | -25.8% | 0.42 | 0.15 | 1.6x | 49 | 54% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=29, mult=3.3 |
2.2% | -21.8% | 0.33 | 0.10 | 1.3x | 44 | 30% |
| ADX / DI 방향성 period=39, threshold=14 |
0.2% | -15.0% | 0.06 | 0.01 | 1.0x | 58 | 23% |
| MACD fast=17, slow=40, signal=24 |
-1.8% | -40.9% | -0.13 | -0.04 | 0.8x | 142 | 50% |
| Parabolic SAR step=0.01, maxStep=0.4 |
-3.1% | -50.9% | -0.21 | -0.06 | 0.7x | 172 | 60% |
| Buy and hold | 10.8% | -31.7% | 0.67 | 0.34 | 3.6x | 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 57-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 57-day average falls below the 211-day average