Trend-Following Backtester · Guide · backtest 한국어
etf · DE
Xtrackers Nikkei 225 UCITS ETF backtest
10 trend-following strategies were compared on the full daily history of Xtrackers Nikkei 225 UCITS ETF. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.9%, MDD -24.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -30.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -21.8%, Sharpe 0.74, 63% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.9%, MDD -24.4%, exposure 80%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 8.8%p (CAGR 11.9%, MDD -24.4%, exposure 80%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=60 |
11.3% | -21.8% | 0.74 | 0.52 | 2.3x | 37 | 63% |
| Donchian 채널 돌파 entryN=25, exitN=62 |
11.9% | -24.4% | 0.73 | 0.49 | 2.4x | 19 | 80% |
| EMA 크로스오버 fast=17, slow=213 |
11.3% | -25.3% | 0.70 | 0.45 | 2.3x | 13 | 72% |
| 볼린저 밴드 돌파 n=36, k=2.7 |
6.0% | -9.3% | 0.64 | 0.65 | 1.6x | 20 | 22% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=3.4 |
6.6% | -19.0% | 0.58 | 0.35 | 1.6x | 32 | 39% |
| ROC 모멘텀 n=143, threshold=0.08 |
6.9% | -27.4% | 0.56 | 0.25 | 1.7x | 35 | 41% |
| Supertrend period=24, mult=4.1 |
7.0% | -28.8% | 0.52 | 0.24 | 1.7x | 64 | 65% |
| ADX / DI 방향성 period=29, threshold=23 |
2.6% | -8.9% | 0.46 | 0.30 | 1.2x | 10 | 12% |
| MACD fast=27, slow=40, signal=22 |
4.6% | -30.1% | 0.40 | 0.15 | 1.4x | 72 | 50% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.8% | -33.2% | 0.26 | 0.08 | 1.2x | 64 | 57% |
| Buy and hold | 15.3% | -30.6% | 0.76 | 0.50 | 3.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 43-day average price crosses above the 60-day average
- Sell — Sell (to cash) when the 43-day average falls below the 60-day average