Trend-Following Backtester · Guide · backtest 한국어
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iFreeETF Nikkei225 Double Inverse Index backtest
10 trend-following strategies were compared on the full daily history of iFreeETF Nikkei225 Double Inverse Index. 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 -3.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.6%, drawdown -99.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -3.6%, Sharpe 0.14, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.8%p higher than buy and hold, while drawdown improves by 95.8%p (CAGR 0.2%, MDD -3.6%, 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=34, threshold=32 |
0.2% | -3.6% | 0.14 | 0.06 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=55, k=2.6 |
-5.6% | -62.6% | -0.15 | -0.09 | 0.5x | 22 | 9% |
| ROC 모멘텀 n=148, threshold=0.11 |
-4.8% | -59.1% | -0.20 | -0.08 | 0.6x | 32 | 5% |
| Donchian 채널 돌파 entryN=89, exitN=17 |
-7.3% | -62.8% | -0.25 | -0.12 | 0.4x | 18 | 6% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=3.9 |
-7.5% | -63.7% | -0.26 | -0.12 | 0.4x | 22 | 7% |
| SMA 크로스오버 fast=19, slow=24 |
-13.6% | -89.2% | -0.32 | -0.15 | 0.2x | 147 | 35% |
| Supertrend period=12, mult=4.5 |
-15.5% | -87.8% | -0.42 | -0.18 | 0.1x | 52 | 30% |
| EMA 크로스오버 fast=25, slow=93 |
-11.9% | -79.2% | -0.42 | -0.15 | 0.2x | 26 | 16% |
| MACD fast=25, slow=62, signal=12 |
-20.1% | -95.8% | -0.48 | -0.21 | 0.1x | 111 | 53% |
| Parabolic SAR step=0.04, maxStep=0.14 |
-21.8% | -94.3% | -0.65 | -0.23 | 0.1x | 301 | 37% |
| Buy and hold | -34.6% | -99.4% | -0.80 | -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, 34-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)