Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Listed Index Fund Nikkei Leveraged Index backtest
10 trend-following strategies were compared on the full daily history of Listed Index Fund Nikkei Leveraged Index. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.2%, MDD -42.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 24.0%, drawdown -55.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.2%, MDD -42.6%, Sharpe 0.73, 83% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.7%p lower than buy and hold, while drawdown improves by 13.1%p (CAGR 20.2%, MDD -42.6%, exposure 83%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=60 |
20.2% | -42.6% | 0.73 | 0.47 | 9.2x | 35 | 83% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=24, mult=2.9 |
12.6% | -24.9% | 0.71 | 0.51 | 4.2x | 46 | 31% |
| 볼린저 밴드 돌파 n=14, k=2.1 |
10.4% | -22.9% | 0.66 | 0.45 | 3.3x | 108 | 28% |
| Supertrend period=9, mult=3.4 |
13.7% | -40.9% | 0.64 | 0.34 | 4.7x | 87 | 54% |
| ROC 모멘텀 n=106, threshold=0.08 |
11.6% | -37.3% | 0.58 | 0.31 | 3.7x | 111 | 47% |
| MACD fast=15, slow=54, signal=23 |
10.9% | -36.5% | 0.55 | 0.30 | 3.5x | 120 | 49% |
| Parabolic SAR step=0.04, maxStep=0.14 |
11.5% | -43.9% | 0.55 | 0.26 | 3.7x | 302 | 58% |
| EMA 크로스오버 fast=49, slow=79 |
11.4% | -51.3% | 0.52 | 0.22 | 3.7x | 33 | 65% |
| SMA 크로스오버 fast=7, slow=40 |
9.7% | -62.8% | 0.48 | 0.15 | 3.0x | 108 | 62% |
| ADX / DI 방향성 period=20, threshold=24 |
5.5% | -26.4% | 0.44 | 0.21 | 1.9x | 40 | 16% |
| Buy and hold | 24.0% | -55.7% | 0.74 | 0.43 | 13.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 60 days