Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS TOPIX Banks ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX Banks ETF. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.9%, MDD -31.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.4%, drawdown -69.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.9%, MDD -31.3%, Sharpe 0.58, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 9.9%, MDD -31.3%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=54, slow=197 |
9.9% | -31.3% | 0.58 | 0.31 | 5.8x | 17 | 54% |
| SMA 크로스오버 fast=20, slow=277 |
9.0% | -33.7% | 0.54 | 0.27 | 5.0x | 27 | 54% |
| ROC 모멘텀 n=184, threshold=0.07 |
6.9% | -35.9% | 0.47 | 0.19 | 3.5x | 109 | 45% |
| 볼린저 밴드 돌파 n=65, k=2.8 |
4.7% | -22.5% | 0.42 | 0.21 | 2.4x | 34 | 25% |
| Donchian 채널 돌파 entryN=16, exitN=53 |
5.8% | -58.1% | 0.36 | 0.10 | 2.9x | 63 | 76% |
| Supertrend period=13, mult=4.4 |
4.9% | -46.9% | 0.35 | 0.10 | 2.4x | 77 | 54% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=4 |
3.3% | -26.2% | 0.31 | 0.13 | 1.8x | 45 | 26% |
| ADX / DI 방향성 period=27, threshold=17 |
2.2% | -29.6% | 0.24 | 0.07 | 1.5x | 96 | 24% |
| MACD fast=18, slow=45, signal=15 |
0.6% | -72.3% | 0.13 | 0.01 | 1.1x | 214 | 53% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-2.1% | -68.7% | -0.02 | -0.03 | 0.7x | 227 | 53% |
| Buy and hold | 5.4% | -69.5% | 0.33 | 0.08 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 197-day EMA
- Sell — Sell when the 54-day EMA falls below the 197-day EMA