Trend-Following Backtester · Guide · backtest 한국어

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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 19.8%, MDD -42.6%).

Data 2014-08-22 ~ 2026-07-31daily bars 2,935 (11.9 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 23.6%, drawdown -55.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.8%, MDD -42.6%, Sharpe 0.72, 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 19.8%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=17, exitN=60
19.8%-42.6%0.720.478.7x3583%
Keltner 채널 돌파
emaPeriod=39, atrPeriod=24, mult=2.9
12.7%-24.9%0.710.514.2x4631%
Supertrend
period=9, mult=3.4
14.7%-40.9%0.680.365.2x8654%
볼린저 밴드 돌파
n=14, k=2.1
10.5%-22.9%0.660.463.3x10828%
MACD
fast=15, slow=54, signal=23
12.2%-36.5%0.590.333.9x11850%
ROC 모멘텀
n=106, threshold=0.08
11.2%-37.3%0.560.303.5x11146%
Parabolic SAR
step=0.04, maxStep=0.14
12.0%-43.9%0.560.273.9x30058%
EMA 크로스오버
fast=49, slow=79
11.0%-51.3%0.510.213.5x3365%
SMA 크로스오버
fast=7, slow=40
10.4%-62.8%0.500.173.3x10662%
ADX / DI 방향성
period=20, threshold=24
5.6%-26.4%0.440.211.9x4016%
Buy and hold23.6%-55.7%0.730.4212.5x1100%
1x 10x 2015 2017 2019 2021 2023 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -14% -28% -42% -56% 2015 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -42.6% (2021-02-16 → 2023-01-19), recovered after 1,092 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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