Trend-Following Backtester · Guide · backtest 한국어
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Next Funds Nikkei 225 High Dividend Yield Stock 50 Index ETF backtest
10 trend-following strategies were compared on the full daily history of Next Funds Nikkei 225 High Dividend Yield Stock 50 Index ETF. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.9%, MDD -7.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -21.2%, drawdown -99.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.9%, MDD -7.1%, Sharpe 0.75, 8% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 13.4%, MDD -96.7%, exposure 58%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 24.1%p higher than buy and hold, while drawdown improves by 92.7%p (CAGR 2.9%, MDD -7.1%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=22, k=3.1 |
2.9% | -7.1% | 0.75 | 0.41 | 1.3x | 8 | 8% |
| SMA 크로스오버 fast=52, slow=88 |
7.2% | -38.4% | 0.55 | 0.19 | 1.9x | 33 | 66% |
| EMA 크로스오버 fast=57, slow=205 |
13.4% | -96.7% | 0.33 | 0.14 | 3.3x | 3 | 58% |
| ROC 모멘텀 n=73, threshold=0.08 |
2.0% | -20.9% | 0.27 | 0.10 | 1.2x | 97 | 30% |
| ADX / DI 방향성 period=16, threshold=30 |
1.3% | -13.1% | 0.26 | 0.10 | 1.1x | 26 | 12% |
| Donchian 채널 돌파 entryN=63, exitN=75 |
-21.7% | -96.8% | 0.05 | -0.22 | 0.1x | 13 | 67% |
| Supertrend period=30, mult=4.5 |
-24.2% | -96.7% | -0.05 | -0.25 | 0.1x | 43 | 67% |
| MACD fast=15, slow=38, signal=13 |
-26.3% | -97.1% | -0.14 | -0.27 | 0.1x | 115 | 55% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=15, mult=1.7 |
-26.3% | -97.0% | -0.15 | -0.27 | 0.1x | 59 | 42% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-48.7% | -99.9% | -0.30 | -0.49 | 0.0x | 73 | 59% |
| Buy and hold | -21.2% | -99.8% | 0.32 | -0.21 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 22-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 22-day middle average