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NEXT FUNDS TOPIX 17 Commercial & Wholesale Trade ETF backtest

10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX 17 Commercial & Wholesale Trade ETF. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -18.1%).

Data 2009-01-05 ~ 2026-07-31daily bars 4,316 (17.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR -20.8%, drawdown -100.0%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -26.1%, Sharpe 0.47, 25% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 6.9%, MDD -99.8%, exposure 60%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 1.9%, MDD -18.1%, exposure 10%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=102, exitN=13
4.2%-26.1%0.470.162.1x6425%
ADX / DI 방향성
period=17, threshold=34
1.9%-18.1%0.330.111.4x3210%
Keltner 채널 돌파
emaPeriod=28, atrPeriod=17, mult=2.3
3.0%-41.7%0.320.071.7x12637%
볼린저 밴드 돌파
n=34, k=2.8
1.7%-19.9%0.310.091.4x2210%
SMA 크로스오버
fast=16, slow=147
6.9%-99.8%0.240.073.2x4260%
EMA 크로스오버
fast=56, slow=82
-24.3%-100.0%0.24-0.240.0x2663%
Supertrend
period=14, mult=5
-26.4%-99.8%0.01-0.260.0x10158%
ROC 모멘텀
n=59, threshold=0.06
-28.8%-99.8%-0.12-0.290.0x21839%
MACD
fast=17, slow=39, signal=9
-31.6%-99.9%-0.25-0.320.0x27355%
Parabolic SAR
step=0.015, maxStep=0.18
-51.8%-100.0%-0.33-0.520.0x27556%
Buy and hold-20.8%-100.0%0.24-0.210.0x1100%
0.0001 0.001 0.01 0.1 1x 2010 2013 2016 2019 2022 2025 SMA 크로스오버Donchian 채널 돌파Buy and hold
Donchian 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -25% -50% -75% -100% 2010 2013 2016 2019 2022 2025 Buy and holdSMA 크로스오버Donchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -26.1% (2013-05-22 → 2017-09-15), recovered after 3,682 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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