Trend-Following Backtester · Guide · backtest 한국어
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MUFJ Kokusai - MAXIS NASDAQ100 ETF (2631) backtest
10 trend-following strategies were compared on the full daily history of MUFJ Kokusai - MAXIS NASDAQ100 ETF (2631). 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.7%, MDD -17.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.5%, drawdown -30.0%).
Sharpe leader (same as main): Supertrend — CAGR 20.0%, MDD -19.3%, Sharpe 1.29, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.5%p lower than buy and hold, while drawdown improves by 10.6%p (CAGR 18.7%, MDD -17.1%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.8 |
20.0% | -19.3% | 1.29 | 1.03 | 2.7x | 26 | 64% |
| EMA 크로스오버 fast=20, slow=22 |
18.7% | -17.1% | 1.15 | 1.10 | 2.6x | 30 | 70% |
| MACD fast=23, slow=55, signal=19 |
15.4% | -24.5% | 1.14 | 0.63 | 2.2x | 38 | 45% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
14.9% | -20.0% | 1.11 | 0.75 | 2.2x | 26 | 54% |
| SMA 크로스오버 fast=6, slow=60 |
17.6% | -14.4% | 1.11 | 1.22 | 2.4x | 26 | 68% |
| Donchian 채널 돌파 entryN=20, exitN=19 |
17.5% | -24.4% | 1.10 | 0.72 | 2.4x | 29 | 67% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=15, mult=1.3 |
14.7% | -18.9% | 0.98 | 0.78 | 2.1x | 38 | 65% |
| ADX / DI 방향성 period=27, threshold=8 |
12.0% | -15.9% | 0.84 | 0.75 | 1.9x | 66 | 64% |
| ROC 모멘텀 n=77, threshold=-0.09 |
12.6% | -33.9% | 0.68 | 0.37 | 1.9x | 27 | 87% |
| Parabolic SAR step=0.015, maxStep=0.14 |
5.7% | -22.1% | 0.43 | 0.26 | 1.4x | 87 | 63% |
| Buy and hold | 24.5% | -30.0% | 1.02 | 0.82 | 3.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)