Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iShares Core TOPIX ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Core TOPIX ETF. 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 10.0%, drawdown -91.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.3%, MDD -23.6%, Sharpe 0.66, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.5%, MDD -91.7%, exposure 64%.
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=108, exitN=68 |
7.3% | -23.6% | 0.66 | 0.31 | 2.1x | 13 | 55% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
2.8% | -8.2% | 0.58 | 0.34 | 1.4x | 6 | 10% |
| EMA 크로스오버 fast=7, slow=175 |
5.1% | -29.2% | 0.45 | 0.17 | 1.7x | 39 | 70% |
| ROC 모멘텀 n=149, threshold=0.07 |
4.2% | -26.7% | 0.45 | 0.16 | 1.6x | 61 | 43% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=3.4 |
2.5% | -21.8% | 0.35 | 0.11 | 1.3x | 36 | 32% |
| Supertrend period=12, mult=3.6 |
3.3% | -32.7% | 0.33 | 0.10 | 1.4x | 69 | 65% |
| SMA 크로스오버 fast=61, slow=192 |
8.5% | -91.7% | 0.31 | 0.09 | 2.4x | 11 | 64% |
| ADX / DI 방향성 period=20, threshold=30 |
0.5% | -8.5% | 0.20 | 0.06 | 1.1x | 12 | 6% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.4% | -37.7% | -0.15 | -0.06 | 0.8x | 143 | 60% |
| MACD fast=19, slow=53, signal=21 |
-3.2% | -39.1% | -0.24 | -0.08 | 0.7x | 112 | 51% |
| Buy and hold | 10.0% | -91.7% | 0.32 | 0.11 | 2.8x | 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 108 days
- Sell — Sell when price breaks below the lowest low of the last 68 days