Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iFreeETF TOPIX High Dividend Yield 40 Index backtest
10 trend-following strategies were compared on the full daily history of iFreeETF TOPIX High Dividend Yield 40 Index. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.0%, MDD -26.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.4%, drawdown -39.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 15.0%, MDD -26.1%, Sharpe 0.97, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 15.0%, MDD -26.1%, exposure 65%).
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=32, slow=383 |
15.0% | -26.1% | 0.97 | 0.57 | 3.4x | 3 | 65% |
| ROC 모멘텀 Hold-like · Exposure 98% n=8, threshold=-0.08 |
12.9% | -34.5% | 0.81 | 0.38 | 2.9x | 17 | 98% |
| SMA 크로스오버 fast=58, slow=122 |
12.1% | -26.1% | 0.80 | 0.46 | 2.8x | 11 | 66% |
| Donchian 채널 돌파 entryN=14, exitN=94 |
11.9% | -35.3% | 0.80 | 0.34 | 2.7x | 17 | 90% |
| Supertrend period=8, mult=4 |
6.0% | -24.9% | 0.56 | 0.24 | 1.7x | 43 | 59% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
2.3% | -8.3% | 0.53 | 0.28 | 1.2x | 4 | 8% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=2.5 |
3.4% | -25.5% | 0.39 | 0.13 | 1.3x | 39 | 38% |
| ADX / DI 방향성 period=45, threshold=15 |
2.0% | -11.5% | 0.27 | 0.18 | 1.2x | 32 | 26% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.6% | -27.1% | 0.19 | 0.06 | 1.2x | 77 | 63% |
| MACD fast=14, slow=53, signal=15 |
-2.6% | -33.2% | -0.17 | -0.08 | 0.8x | 119 | 50% |
| Buy and hold | 13.4% | -39.9% | 0.76 | 0.34 | 3.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 32-day EMA crosses above the 383-day EMA
- Sell — Sell when the 32-day EMA falls below the 383-day EMA