Trend-Following Backtester · Guide · backtest 한국어
etf · JP
MAXIS NASDAQ100 ETF (JPY Hedged) backtest
10 trend-following strategies were compared on the full daily history of MAXIS NASDAQ100 ETF (JPY Hedged). 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.0%, MDD -18.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.7%, drawdown -38.3%).
Sharpe leader (same as main): Supertrend — CAGR 11.0%, MDD -18.4%, Sharpe 0.88, 53% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.2%, MDD -19.2%, exposure 58%.
Return/drawdown alternative: Supertrend — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 20.0%p (CAGR 11.0%, MDD -18.4%, exposure 53%).
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=11, mult=5 |
11.0% | -18.4% | 0.88 | 0.60 | 1.8x | 24 | 53% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=11, mult=2.5 |
8.4% | -11.4% | 0.81 | 0.74 | 1.5x | 32 | 43% |
| SMA 크로스오버 fast=20, slow=292 |
11.2% | -19.2% | 0.78 | 0.58 | 1.8x | 3 | 58% |
| Donchian 채널 돌파 entryN=20, exitN=13 |
7.2% | -15.1% | 0.63 | 0.48 | 1.5x | 40 | 51% |
| 볼린저 밴드 돌파 n=54, k=1.4 |
7.0% | -16.1% | 0.62 | 0.43 | 1.4x | 22 | 49% |
| Parabolic SAR step=0.02, maxStep=0.04 |
8.0% | -16.9% | 0.62 | 0.47 | 1.5x | 48 | 63% |
| EMA 크로스오버 fast=41, slow=121 |
8.5% | -19.2% | 0.60 | 0.44 | 1.6x | 7 | 65% |
| ROC 모멘텀 n=177, threshold=0.03 |
5.0% | -22.5% | 0.39 | 0.22 | 1.3x | 19 | 61% |
| MACD fast=17, slow=52, signal=23 |
4.1% | -23.8% | 0.37 | 0.17 | 1.2x | 50 | 47% |
| ADX / DI 방향성 period=20, threshold=14 |
2.2% | -23.8% | 0.25 | 0.09 | 1.1x | 56 | 40% |
| Buy and hold | 10.7% | -38.3% | 0.55 | 0.28 | 1.7x | 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) — 11-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)