Trend-Following Backtester · Guide · backtest 한국어
etf · JP
One ETF Nikkei225 backtest
10 trend-following strategies were compared on the full daily history of One ETF Nikkei225. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -31.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -13.8%, Sharpe 0.77, 22% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.3%, MDD -38.9%, exposure 62%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=150, exitN=13 |
6.4% | -13.8% | 0.77 | 0.46 | 2.1x | 28 | 22% |
| SMA 크로스오버 fast=59, slow=213 |
8.3% | -38.9% | 0.59 | 0.21 | 2.6x | 19 | 62% |
| EMA 크로스오버 fast=18, slow=253 |
8.1% | -30.4% | 0.58 | 0.27 | 2.5x | 17 | 67% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=33, mult=2.9 |
5.4% | -18.2% | 0.58 | 0.29 | 1.8x | 48 | 32% |
| Supertrend period=8, mult=4.1 |
6.6% | -21.0% | 0.58 | 0.31 | 2.1x | 68 | 52% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
2.1% | -5.8% | 0.56 | 0.36 | 1.3x | 4 | 5% |
| MACD fast=32, slow=47, signal=35 |
5.8% | -27.2% | 0.51 | 0.21 | 1.9x | 60 | 49% |
| ROC 모멘텀 n=86, threshold=0.12 |
3.9% | -20.5% | 0.45 | 0.19 | 1.6x | 56 | 25% |
| ADX / DI 방향성 period=23, threshold=23 |
2.0% | -12.6% | 0.32 | 0.16 | 1.3x | 28 | 14% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-0.3% | -40.5% | 0.04 | -0.01 | 1.0x | 219 | 60% |
| Buy and hold | 12.4% | -31.8% | 0.68 | 0.39 | 3.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 150 days
- Sell — Sell when price breaks below the lowest low of the last 13 days