Trend-Following Backtester · Guide · backtest 한국어
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NZAM ETF TOPIX backtest
10 trend-following strategies were compared on the full daily history of NZAM ETF TOPIX. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.2%, MDD -19.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.9%, drawdown -28.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.4%, MDD -18.8%, Sharpe 0.89, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 9.3%p (CAGR 13.2%, MDD -19.2%, exposure 91%).
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 99% n=3, threshold=-0.06 |
15.4% | -18.8% | 0.89 | 0.82 | 2.9x | 15 | 99% |
| Donchian 채널 돌파 entryN=19, exitN=85 |
13.2% | -19.2% | 0.84 | 0.69 | 2.5x | 13 | 91% |
| SMA 크로스오버 fast=33, slow=109 |
11.1% | -21.9% | 0.76 | 0.51 | 2.2x | 15 | 72% |
| 볼린저 밴드 돌파 n=45, k=3.2 |
4.5% | -8.9% | 0.58 | 0.51 | 1.4x | 8 | 19% |
| EMA 크로스오버 fast=52, slow=106 |
7.8% | -22.3% | 0.56 | 0.35 | 1.8x | 13 | 74% |
| Supertrend period=20, mult=4.7 |
4.7% | -38.6% | 0.40 | 0.12 | 1.4x | 57 | 69% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=4 |
2.3% | -16.8% | 0.27 | 0.14 | 1.2x | 36 | 45% |
| ADX / DI 방향성 period=37, threshold=22 |
1.9% | -15.6% | 0.26 | 0.12 | 1.1x | 16 | 21% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-1.1% | -29.4% | -0.03 | -0.04 | 0.9x | 74 | 62% |
| MACD fast=21, slow=22, signal=16 |
-5.0% | -41.3% | -0.38 | -0.12 | 0.7x | 100 | 48% |
| Buy and hold | 13.9% | -28.1% | 0.78 | 0.49 | 2.6x | 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 3-day return is greater than -6%
- Sell — Sell when the 3-day return drops to -6% or below