Trend-Following Backtester · Guide · backtest 한국어
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Rakuten ETF - Nikkei 225 Double Inverse Index backtest
10 trend-following strategies were compared on the full daily history of Rakuten ETF - Nikkei 225 Double Inverse Index. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR -0.7%, MDD -26.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -33.1%, drawdown -99.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR -0.7%, MDD -26.8%, Sharpe 0.02, 1% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 32.3%p higher than buy and hold, while drawdown improves by 72.6%p (CAGR -0.7%, MDD -26.8%, exposure 1%).
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=115, exitN=1 |
-0.7% | -26.8% | 0.02 | -0.03 | 0.9x | 18 | 1% |
| ADX / DI 방향성 period=13, threshold=37 |
-0.8% | -31.2% | -0.02 | -0.02 | 0.9x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=22, mult=3.6 |
-1.9% | -36.0% | -0.06 | -0.05 | 0.8x | 14 | 2% |
| 볼린저 밴드 돌파 n=53, k=2.8 |
-6.4% | -64.7% | -0.22 | -0.10 | 0.5x | 20 | 8% |
| Supertrend period=13, mult=4.2 |
-11.2% | -82.7% | -0.26 | -0.14 | 0.3x | 51 | 29% |
| ROC 모멘텀 n=65, threshold=0.16 |
-7.1% | -60.9% | -0.31 | -0.12 | 0.4x | 32 | 5% |
| EMA 크로스오버 fast=29, slow=144 |
-9.0% | -65.6% | -0.39 | -0.14 | 0.4x | 16 | 10% |
| SMA 크로스오버 fast=46, slow=99 |
-11.9% | -80.8% | -0.44 | -0.15 | 0.2x | 28 | 21% |
| MACD fast=15, slow=69, signal=20 |
-19.8% | -95.0% | -0.49 | -0.21 | 0.1x | 101 | 52% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-19.5% | -92.9% | -0.56 | -0.21 | 0.1x | 273 | 37% |
| Buy and hold | -33.1% | -99.4% | -0.74 | -0.33 | 0.0x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 1 days