Trend-Following Backtester · Guide · backtest 한국어
etf · JP
MAXIS Global Equity MSCI Kokusai ETF backtest
10 trend-following strategies were compared on the full daily history of MAXIS Global Equity MSCI Kokusai ETF. 0 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 11.9%, MDD -17.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.2%, drawdown -35.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.9%, MDD -17.6%, Sharpe 0.93, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 18.2%p (CAGR 11.9%, MDD -17.6%, exposure 79%).
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=31, exitN=58 |
11.9% | -17.6% | 0.93 | 0.67 | 5.8x | 31 | 79% |
| ROC 모멘텀 n=208, threshold=-0.04 |
11.6% | -22.4% | 0.87 | 0.52 | 5.6x | 39 | 82% |
| SMA 크로스오버 fast=28, slow=132 |
9.7% | -31.6% | 0.78 | 0.31 | 4.3x | 27 | 71% |
| EMA 크로스오버 fast=7, slow=132 |
9.2% | -34.8% | 0.77 | 0.26 | 4.0x | 43 | 73% |
| Supertrend period=15, mult=5 |
7.3% | -24.0% | 0.68 | 0.30 | 3.0x | 75 | 66% |
| 볼린저 밴드 돌파 n=54, k=1.3 |
5.5% | -22.7% | 0.57 | 0.24 | 2.3x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=19, mult=3.7 |
3.5% | -21.7% | 0.45 | 0.16 | 1.7x | 67 | 38% |
| Parabolic SAR step=0.015, maxStep=0.16 |
4.3% | -20.6% | 0.44 | 0.21 | 1.9x | 250 | 63% |
| ADX / DI 방향성 period=39, threshold=14 |
0.3% | -30.0% | 0.08 | 0.01 | 1.0x | 66 | 24% |
| MACD fast=18, slow=40, signal=14 |
0.2% | -32.8% | 0.08 | 0.01 | 1.0x | 212 | 51% |
| Buy and hold | 14.2% | -35.9% | 0.84 | 0.40 | 8.0x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 58 days