Trend-Following Backtester · Guide · backtest 한국어
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NEXT FUNDS Nikkei 225 Leveraged Index ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS Nikkei 225 Leveraged Index ETF. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 21.2%, drawdown -62.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.4%, MDD -31.1%, Sharpe 0.82, 28% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 19.1%, MDD -73.9%, exposure 67%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=25, mult=3.3 |
15.4% | -31.1% | 0.82 | 0.50 | 7.9x | 46 | 28% |
| 볼린저 밴드 돌파 n=37, k=2.6 |
11.3% | -46.5% | 0.71 | 0.24 | 4.6x | 32 | 19% |
| Supertrend period=36, mult=4.6 |
17.5% | -50.9% | 0.71 | 0.34 | 10.2x | 66 | 64% |
| Donchian 채널 돌파 entryN=95, exitN=18 |
11.7% | -46.7% | 0.63 | 0.25 | 4.9x | 48 | 33% |
| SMA 크로스오버 fast=47, slow=147 |
19.1% | -73.9% | 0.61 | 0.26 | 12.4x | 27 | 67% |
| EMA 크로스오버 fast=42, slow=88 |
17.6% | -57.1% | 0.58 | 0.31 | 10.3x | 33 | 66% |
| Parabolic SAR step=0.02, maxStep=0.16 |
12.9% | -51.5% | 0.58 | 0.25 | 5.7x | 272 | 60% |
| ADX / DI 방향성 period=31, threshold=17 |
8.4% | -35.1% | 0.53 | 0.24 | 3.2x | 46 | 20% |
| ROC 모멘텀 n=78, threshold=0.18 |
9.4% | -56.1% | 0.51 | 0.17 | 3.6x | 114 | 32% |
| MACD fast=16, slow=53, signal=22 |
9.1% | -64.6% | 0.47 | 0.14 | 3.5x | 160 | 52% |
| Buy and hold | 21.2% | -62.7% | 0.63 | 0.34 | 15.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 38-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average