Trend-Following Backtester · Guide · backtest 한국어
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NEXT FUNDS Nomura Crude Oil Long Index Linked ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS Nomura Crude Oil Long Index Linked ETF. 10 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 1.1%, MDD -19.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.5%, drawdown -94.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -31.4%, Sharpe 0.42, 18% exposure.
CAGR reference leader: Supertrend — CAGR 7.1%, MDD -47.7%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 63.0%p (CAGR 1.1%, MDD -19.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=108, exitN=9 |
5.3% | -31.4% | 0.42 | 0.17 | 2.3x | 66 | 18% |
| Supertrend period=9, mult=3.1 |
7.1% | -47.7% | 0.40 | 0.15 | 3.1x | 169 | 55% |
| EMA 크로스오버 fast=28, slow=125 |
6.4% | -44.6% | 0.39 | 0.14 | 2.8x | 29 | 50% |
| ROC 모멘텀 n=126, threshold=0.01 |
6.1% | -54.6% | 0.37 | 0.11 | 2.6x | 123 | 51% |
| SMA 크로스오버 fast=20, slow=207 |
5.8% | -46.2% | 0.37 | 0.13 | 2.5x | 33 | 48% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
5.3% | -36.3% | 0.36 | 0.15 | 2.3x | 85 | 42% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=11, mult=2.4 |
4.0% | -39.1% | 0.30 | 0.10 | 1.9x | 99 | 37% |
| ADX / DI 방향성 period=31, threshold=20 |
1.1% | -19.2% | 0.16 | 0.06 | 1.2x | 24 | 7% |
| MACD fast=8, slow=51, signal=6 |
-1.1% | -61.5% | 0.09 | -0.02 | 0.8x | 352 | 53% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.1% | -63.6% | 0.04 | -0.03 | 0.7x | 255 | 54% |
| Buy and hold | -2.5% | -94.4% | 0.14 | -0.03 | 0.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 108 days
- Sell — Sell when price breaks below the lowest low of the last 9 days