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iFreeETF Nikkei225 Leveraged Index Units 2014-Without Fixed maturity backtest

10 trend-following strategies were compared on the full daily history of iFreeETF Nikkei225 Leveraged Index Units 2014-Without Fixed maturity. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.9%, MDD -17.8%).

Data 2014-12-30 ~ 2026-07-31daily bars 2,849 (11.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR -7.5%, drawdown -96.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.0%, MDD -35.1%, Sharpe 0.61, 31% exposure.

CAGR reference leader: Supertrend — CAGR 12.5%, MDD -42.4%, exposure 57%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 61.0%p (CAGR 4.9%, MDD -17.8%, exposure 10%).

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
Keltner 채널 돌파
emaPeriod=55, atrPeriod=28, mult=3.8
10.0%-35.1%0.610.293.0x3031%
Supertrend
period=10, mult=4.1
12.5%-42.4%0.610.293.9x5857%
Donchian 채널 돌파
entryN=118, exitN=15
8.7%-26.5%0.610.332.6x3023%
SMA 크로스오버
fast=19, slow=24
11.6%-47.0%0.550.253.6x14659%
볼린저 밴드 돌파
n=42, k=2.6
7.1%-23.9%0.530.302.2x2215%
ADX / DI 방향성
period=17, threshold=31
4.9%-17.8%0.490.271.7x1810%
ROC 모멘텀
n=108, threshold=0.24
2.4%-33.6%0.220.071.3x6426%
EMA 크로스오버
fast=18, slow=268
-15.0%-96.1%0.18-0.160.2x2062%
MACD
fast=19, slow=57, signal=18
-18.1%-96.9%0.07-0.190.1x10749%
Parabolic SAR
step=0.03, maxStep=0.2
-19.0%-96.2%0.05-0.200.1x28256%
Buy and hold-7.5%-96.1%0.41-0.080.4x1100%
1x 2015 2017 2019 2021 2023 2025 SupertrendKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), Supertrend (CAGR reference), Buy and hold.
0% -24% -48% -72% -96% 2015 2017 2019 2021 2023 2025 Buy and holdSupertrendKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -35.1% (2021-02-16 → 2023-05-08), recovered after 1,109 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

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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