Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Nomura - NEXT FUNDS For. Bd. FTSE World Govt. Bd. (2511) backtest
10 trend-following strategies were compared on the full daily history of Nomura - NEXT FUNDS For. Bd. FTSE World Govt. Bd. (2511). 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 95% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 1.9%, drawdown -11.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.3%, MDD -11.3%, Sharpe 0.30, 95% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 95% n=97, threshold=-0.08 |
2.3% | -11.3% | 0.30 | 0.21 | 1.2x | 3 | 95% |
| SMA 크로스오버 fast=55, slow=75 |
1.1% | -12.8% | 0.19 | 0.08 | 1.1x | 39 | 60% |
| EMA 크로스오버 fast=44, slow=135 |
0.6% | -12.9% | 0.12 | 0.05 | 1.1x | 13 | 64% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-0.1% | -5.4% | -0.05 | -0.02 | 1.0x | 4 | 4% |
| ADX / DI 방향성 period=36, threshold=26 |
-0.3% | -10.6% | -0.05 | -0.03 | 1.0x | 10 | 24% |
| Donchian 채널 돌파 entryN=48, exitN=72 |
-0.6% | -17.7% | -0.06 | -0.03 | 0.9x | 16 | 53% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=12, mult=4 |
-0.6% | -8.9% | -0.23 | -0.07 | 0.9x | 8 | 6% |
| Supertrend period=28, mult=4.9 |
-3.9% | -31.7% | -0.60 | -0.12 | 0.7x | 34 | 44% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-5.2% | -37.5% | -0.75 | -0.14 | 0.6x | 64 | 52% |
| MACD fast=17, slow=49, signal=19 |
-8.4% | -54.4% | -1.24 | -0.16 | 0.5x | 110 | 52% |
| Buy and hold | 1.9% | -11.3% | 0.26 | 0.17 | 1.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 97-day return is greater than -8%
- Sell — Sell when the 97-day return drops to -8% or below