Trend-Following Backtester · Guide · backtest 한국어
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Listed Index Fund TOPIX backtest
10 trend-following strategies were compared on the full daily history of Listed Index Fund TOPIX. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.7%, MDD -26.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -51.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.5%, MDD -11.6%, Sharpe 0.72, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.7%, MDD -39.3%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 40.3%p (CAGR 5.7%, MDD -26.8%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=46, k=2.7 |
4.5% | -11.6% | 0.72 | 0.38 | 2.3x | 18 | 15% |
| Donchian 채널 돌파 entryN=111, exitN=56 |
5.7% | -26.8% | 0.53 | 0.21 | 2.8x | 27 | 46% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=13, mult=3.3 |
3.8% | -21.0% | 0.48 | 0.18 | 2.0x | 64 | 29% |
| SMA 크로스오버 fast=62, slow=192 |
5.7% | -39.3% | 0.45 | 0.15 | 2.8x | 27 | 59% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.08 |
5.6% | -53.6% | 0.37 | 0.10 | 2.7x | 25 | 100% |
| EMA 크로스오버 fast=58, slow=194 |
4.3% | -34.4% | 0.36 | 0.13 | 2.2x | 25 | 60% |
| Supertrend period=6, mult=4.7 |
3.3% | -22.1% | 0.34 | 0.15 | 1.8x | 85 | 49% |
| ADX / DI 방향성 period=17, threshold=35 |
0.9% | -7.9% | 0.31 | 0.11 | 1.2x | 16 | 4% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.3% | -55.4% | -0.19 | -0.06 | 0.5x | 167 | 58% |
| MACD fast=19, slow=46, signal=19 |
-3.7% | -56.6% | -0.24 | -0.07 | 0.5x | 219 | 52% |
| Buy and hold | 6.0% | -51.9% | 0.39 | 0.12 | 3.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 46-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 46-day middle average