Trend-Following Backtester · Guide · backtest 한국어
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NIKKEI 225 Bear -2x ETF backtest
10 trend-following strategies were compared on the full daily history of NIKKEI 225 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 0.2%, MDD -3.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.4%, drawdown -99.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -3.0%, Sharpe 0.17, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.6%p higher than buy and hold, while drawdown improves by 96.4%p (CAGR 0.2%, MDD -3.0%, exposure 0%).
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=31, threshold=31 |
0.2% | -3.0% | 0.17 | 0.08 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=11, mult=3.1 |
-1.0% | -36.2% | 0.03 | -0.03 | 0.9x | 16 | 3% |
| 볼린저 밴드 돌파 n=40, k=2.7 |
-6.6% | -70.4% | -0.16 | -0.09 | 0.4x | 30 | 13% |
| ROC 모멘텀 n=148, threshold=0.06 |
-5.9% | -66.4% | -0.23 | -0.09 | 0.5x | 52 | 7% |
| Donchian 채널 돌파 entryN=87, exitN=18 |
-7.4% | -63.5% | -0.26 | -0.12 | 0.4x | 18 | 6% |
| Supertrend period=12, mult=4.1 |
-12.7% | -82.3% | -0.31 | -0.15 | 0.2x | 59 | 29% |
| SMA 크로스오버 fast=7, slow=215 |
-9.6% | -74.3% | -0.35 | -0.13 | 0.3x | 28 | 12% |
| EMA 크로스오버 fast=8, slow=197 |
-9.3% | -71.8% | -0.35 | -0.13 | 0.3x | 24 | 9% |
| MACD fast=16, slow=59, signal=23 |
-20.5% | -95.9% | -0.50 | -0.21 | 0.1x | 115 | 53% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-21.9% | -94.7% | -0.66 | -0.23 | 0.1x | 289 | 36% |
| Buy and hold | -34.4% | -99.4% | -0.79 | -0.35 | 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, 31-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)