Trend-Following Backtester · Guide · backtest 한국어
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iFreeETF Nikkei225 Inverse Index backtest
10 trend-following strategies were compared on the full daily history of iFreeETF Nikkei225 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 0.1%, MDD -2.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.7%, drawdown -90.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.9%, Sharpe 0.09, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.8%p higher than buy and hold, while drawdown improves by 87.7%p (CAGR 0.1%, MDD -2.9%, 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=31 |
0.1% | -2.9% | 0.09 | 0.03 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=107, exitN=1 |
-0.4% | -14.3% | -0.01 | -0.03 | 1.0x | 18 | 1% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=23, mult=3.6 |
-1.2% | -22.4% | -0.07 | -0.05 | 0.9x | 18 | 4% |
| ROC 모멘텀 n=5, threshold=0.14 |
-0.5% | -12.0% | -0.12 | -0.05 | 0.9x | 6 | 0% |
| 볼린저 밴드 돌파 n=51, k=2.7 |
-3.9% | -47.3% | -0.27 | -0.08 | 0.6x | 26 | 11% |
| EMA 크로스오버 fast=23, slow=165 |
-4.9% | -51.6% | -0.40 | -0.10 | 0.6x | 18 | 13% |
| Supertrend period=15, mult=4.3 |
-7.2% | -63.5% | -0.41 | -0.11 | 0.4x | 61 | 31% |
| SMA 크로스오버 fast=18, slow=167 |
-5.6% | -56.5% | -0.45 | -0.10 | 0.5x | 20 | 17% |
| MACD fast=23, slow=43, signal=19 |
-11.6% | -81.9% | -0.62 | -0.14 | 0.2x | 99 | 51% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-13.6% | -82.9% | -0.85 | -0.16 | 0.2x | 212 | 37% |
| Buy and hold | -16.7% | -90.6% | -0.75 | -0.18 | 0.1x | 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 ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)