Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Nikko Exchange Traded Index Fund 225 backtest
10 trend-following strategies were compared on the full daily history of Nikko Exchange Traded Index Fund 225. 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 8.4%, drawdown -52.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.0%, MDD -19.6%, Sharpe 0.60, 32% exposure.
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=48, atrPeriod=29, mult=3.3 |
6.0% | -19.6% | 0.60 | 0.31 | 3.0x | 58 | 32% |
| Supertrend period=14, mult=4.5 |
5.8% | -25.4% | 0.46 | 0.23 | 2.9x | 88 | 58% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
1.3% | -5.6% | 0.46 | 0.24 | 1.3x | 4 | 3% |
| SMA 크로스오버 fast=46, slow=193 |
6.0% | -36.7% | 0.44 | 0.16 | 3.0x | 29 | 61% |
| EMA 크로스오버 fast=24, slow=219 |
5.8% | -34.4% | 0.44 | 0.17 | 2.9x | 33 | 65% |
| Donchian 채널 돌파 entryN=18, exitN=64 |
5.5% | -43.4% | 0.39 | 0.13 | 2.7x | 55 | 81% |
| ADX / DI 방향성 period=29, threshold=21 |
2.0% | -20.1% | 0.31 | 0.10 | 1.4x | 30 | 11% |
| ROC 모멘텀 n=67, threshold=-0.04 |
2.0% | -53.1% | 0.21 | 0.04 | 1.5x | 197 | 76% |
| MACD fast=18, slow=51, signal=17 |
-1.1% | -47.7% | -0.01 | -0.02 | 0.8x | 220 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-1.7% | -47.0% | -0.04 | -0.04 | 0.7x | 344 | 59% |
| Buy and hold | 8.4% | -52.2% | 0.47 | 0.16 | 4.4x | 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 48-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 48-day average