Trend-Following Backtester · Guide · backtest 한국어
etf · JP
One ETF JPX/S&P CAPEX & Human Capital Index backtest
10 trend-following strategies were compared on the full daily history of One ETF JPX/S&P CAPEX & Human Capital Index. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -28.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.2%, MDD -21.8%, Sharpe 0.69, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=60, threshold=-0.12 |
11.2% | -21.8% | 0.69 | 0.52 | 2.9x | 11 | 96% |
| Donchian 채널 돌파 entryN=95, exitN=69 |
7.4% | -16.4% | 0.64 | 0.45 | 2.1x | 9 | 57% |
| SMA 크로스오버 fast=38, slow=108 |
7.8% | -24.2% | 0.57 | 0.32 | 2.1x | 27 | 72% |
| EMA 크로스오버 fast=37, slow=210 |
6.9% | -25.1% | 0.51 | 0.28 | 2.0x | 9 | 79% |
| 볼린저 밴드 돌파 n=45, k=3.4 |
1.2% | -12.1% | 0.26 | 0.10 | 1.1x | 8 | 8% |
| ADX / DI 방향성 period=23, threshold=26 |
1.1% | -15.3% | 0.20 | 0.07 | 1.1x | 12 | 10% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=25, mult=3.6 |
-0.1% | -12.4% | -0.00 | -0.01 | 1.0x | 12 | 4% |
| Supertrend period=16, mult=4.9 |
-1.2% | -36.4% | -0.01 | -0.03 | 0.9x | 73 | 66% |
| Parabolic SAR step=0.03, maxStep=0.36 |
-5.2% | -44.5% | -0.35 | -0.12 | 0.6x | 213 | 57% |
| MACD fast=23, slow=42, signal=18 |
-5.0% | -47.9% | -0.36 | -0.10 | 0.6x | 119 | 53% |
| Buy and hold | 11.3% | -28.8% | 0.65 | 0.39 | 3.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 60-day return is greater than -12%
- Sell — Sell when the 60-day return drops to -12% or below