Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iFreeETF Nikkei225 (Yearly Dividend Type) backtest
10 trend-following strategies were compared on the full daily history of iFreeETF Nikkei225 (Yearly Dividend Type). 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.0%, drawdown -31.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.1%, MDD -20.8%, Sharpe 0.62, 32% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.7%, MDD -37.4%, exposure 64%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=28, mult=2.9 |
6.1% | -20.8% | 0.62 | 0.29 | 2.9x | 70 | 32% |
| Supertrend period=23, mult=4.6 |
7.3% | -31.7% | 0.57 | 0.23 | 3.5x | 80 | 60% |
| SMA 크로스오버 fast=74, slow=271 |
7.7% | -37.4% | 0.52 | 0.21 | 3.7x | 19 | 64% |
| 볼린저 밴드 돌파 n=47, k=2.6 |
3.7% | -22.8% | 0.51 | 0.16 | 1.9x | 26 | 14% |
| EMA 크로스오버 fast=28, slow=218 |
7.0% | -31.3% | 0.49 | 0.22 | 3.3x | 27 | 67% |
| Donchian 채널 돌파 entryN=40, exitN=64 |
6.1% | -37.4% | 0.45 | 0.16 | 2.8x | 43 | 72% |
| MACD fast=29, slow=49, signal=26 |
4.7% | -34.6% | 0.42 | 0.14 | 2.2x | 136 | 52% |
| ROC 모멘텀 n=110, threshold=-0.08 |
4.9% | -46.2% | 0.36 | 0.11 | 2.3x | 113 | 86% |
| ADX / DI 방향성 period=15, threshold=33 |
1.5% | -11.6% | 0.31 | 0.13 | 1.3x | 32 | 8% |
| Parabolic SAR step=0.02, maxStep=0.16 |
0.3% | -42.2% | 0.10 | 0.01 | 1.1x | 342 | 59% |
| Buy and hold | 12.0% | -31.3% | 0.64 | 0.38 | 7.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 39-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 39-day average