Trend-Following Backtester · Guide · backtest 한국어
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TOPIX Bear -2x ETF backtest
10 trend-following strategies were compared on the full daily history of TOPIX Bear -2x ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.8%, MDD -31.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -30.9%, drawdown -98.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -0.8%, MDD -31.8%, Sharpe -0.05, 1% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 30.2%p higher than buy and hold, while drawdown improves by 67.1%p (CAGR -0.8%, MDD -31.8%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=29 |
-0.8% | -31.8% | -0.05 | -0.02 | 0.9x | 4 | 1% |
| 볼린저 밴드 돌파 n=47, k=3.3 |
-2.8% | -45.7% | -0.05 | -0.06 | 0.7x | 12 | 4% |
| ROC 모멘텀 n=34, threshold=0.14 |
-4.6% | -47.3% | -0.15 | -0.10 | 0.6x | 46 | 5% |
| SMA 크로스오버 fast=54, slow=211 |
-4.0% | -60.9% | -0.17 | -0.07 | 0.6x | 12 | 13% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=16, mult=3.8 |
-6.1% | -56.3% | -0.29 | -0.11 | 0.5x | 18 | 2% |
| EMA 크로스오버 fast=39, slow=191 |
-6.8% | -68.4% | -0.34 | -0.10 | 0.4x | 12 | 11% |
| Donchian 채널 돌파 entryN=97, exitN=77 |
-11.3% | -82.3% | -0.35 | -0.14 | 0.2x | 14 | 23% |
| Supertrend period=24, mult=4.7 |
-13.0% | -82.7% | -0.42 | -0.16 | 0.2x | 50 | 24% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-22.8% | -96.3% | -0.78 | -0.24 | 0.0x | 256 | 36% |
| MACD fast=18, slow=23, signal=10 |
-25.9% | -98.1% | -0.82 | -0.26 | 0.0x | 205 | 52% |
| Buy and hold | -30.9% | -98.9% | -0.80 | -0.31 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 22-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)