Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iFreeETF TOPIX Leveraged (2x) Index Units 2014-Without Fixed maturity backtest
10 trend-following strategies were compared on the full daily history of iFreeETF TOPIX Leveraged (2x) Index Units 2014-Without Fixed maturity. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -16.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR -10.1%, drawdown -96.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -16.2%, Sharpe 0.74, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 80.3%p (CAGR 8.4%, MDD -16.2%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=45, k=3 |
8.4% | -16.2% | 0.74 | 0.52 | 2.5x | 12 | 16% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=8, mult=3.1 |
8.1% | -34.1% | 0.58 | 0.24 | 2.5x | 42 | 34% |
| Supertrend period=8, mult=3.9 |
7.9% | -40.8% | 0.47 | 0.19 | 2.4x | 64 | 56% |
| SMA 크로스오버 fast=33, slow=60 |
7.7% | -53.6% | 0.42 | 0.14 | 2.4x | 57 | 62% |
| ADX / DI 방향성 period=21, threshold=20 |
3.6% | -24.9% | 0.34 | 0.14 | 1.5x | 48 | 19% |
| Donchian 채널 돌파 entryN=110, exitN=35 |
3.2% | -51.9% | 0.26 | 0.06 | 1.4x | 26 | 41% |
| EMA 크로스오버 fast=58, slow=82 |
-17.4% | -96.3% | 0.10 | -0.18 | 0.1x | 22 | 61% |
| ROC 모멘텀 n=122, threshold=0.14 |
-18.6% | -96.4% | 0.02 | -0.19 | 0.1x | 84 | 39% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-21.7% | -96.7% | -0.07 | -0.22 | 0.1x | 234 | 59% |
| MACD fast=17, slow=58, signal=17 |
-25.1% | -98.0% | -0.20 | -0.26 | 0.0x | 129 | 51% |
| Buy and hold | -10.1% | -96.4% | 0.34 | -0.10 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 45-day average (3× volatility)
- Sell — Sell when the close falls back to the 45-day middle average