Trend-Following Backtester · Guide · backtest 한국어
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NEXT FUNDS Nikkei 225 Inverse Index ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS Nikkei 225 Inverse Index ETF. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -2.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.8%, drawdown -96.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.0%, Sharpe 0.09, 0% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 94.0%p (CAGR 0.1%, MDD -2.0%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=31 |
0.1% | -2.0% | 0.09 | 0.03 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=11, mult=2.8 |
-1.4% | -29.1% | -0.12 | -0.05 | 0.8x | 26 | 4% |
| 볼린저 밴드 돌파 n=57, k=2.8 |
-2.8% | -42.8% | -0.22 | -0.07 | 0.7x | 20 | 7% |
| ROC 모멘텀 n=5, threshold=0.09 |
-1.5% | -25.8% | -0.23 | -0.06 | 0.8x | 20 | 1% |
| Donchian 채널 돌파 entryN=97, exitN=12 |
-3.0% | -42.3% | -0.26 | -0.07 | 0.6x | 20 | 5% |
| SMA 크로스오버 fast=16, slow=203 |
-4.4% | -54.0% | -0.38 | -0.08 | 0.5x | 22 | 13% |
| Supertrend period=17, mult=4.2 |
-7.8% | -72.0% | -0.48 | -0.11 | 0.3x | 69 | 28% |
| EMA 크로스오버 fast=15, slow=219 |
-4.8% | -55.6% | -0.49 | -0.09 | 0.5x | 20 | 8% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-13.6% | -89.5% | -0.87 | -0.15 | 0.1x | 285 | 38% |
| MACD fast=19, slow=50, signal=17 |
-16.2% | -92.7% | -0.94 | -0.18 | 0.1x | 159 | 51% |
| Buy and hold | -18.8% | -96.0% | -0.87 | -0.20 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)