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 12.2%, drawdown -31.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.7%, MDD -14.7%, Sharpe 0.75, 24% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.5%, MDD -26.0%, exposure 67%.
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=185, exitN=17 |
6.7% | -14.7% | 0.75 | 0.45 | 2.1x | 22 | 24% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
2.1% | -5.8% | 0.56 | 0.36 | 1.3x | 4 | 5% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=17, mult=3 |
5.2% | -19.4% | 0.56 | 0.27 | 1.8x | 50 | 32% |
| EMA 크로스오버 fast=23, slow=212 |
7.5% | -26.0% | 0.55 | 0.29 | 2.3x | 17 | 67% |
| SMA 크로스오버 fast=56, slow=192 |
7.5% | -37.7% | 0.55 | 0.20 | 2.3x | 19 | 61% |
| Supertrend period=21, mult=4.6 |
6.8% | -27.0% | 0.55 | 0.25 | 2.1x | 60 | 62% |
| ROC 모멘텀 n=78, threshold=0.09 |
3.6% | -18.8% | 0.40 | 0.19 | 1.5x | 71 | 29% |
| ADX / DI 방향성 period=19, threshold=25 |
1.5% | -17.6% | 0.25 | 0.09 | 1.2x | 34 | 15% |
| Parabolic SAR step=0.02, maxStep=0.38 |
-1.2% | -39.1% | -0.02 | -0.03 | 0.9x | 228 | 59% |
| MACD fast=9, slow=22, signal=12 |
-4.0% | -49.5% | -0.25 | -0.08 | 0.6x | 238 | 51% |
| Buy and hold | 12.2% | -31.8% | 0.67 | 0.38 | 3.8x | 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 185 days
- Sell — Sell when price breaks below the lowest low of the last 17 days