Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Nikkei 225 Bull 2x ETF backtest
10 trend-following strategies were compared on the full daily history of Nikkei 225 Bull 2x ETF. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.5%, MDD -11.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -18.1%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.5%, MDD -11.5%, Sharpe 0.50, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.2%, MDD -55.0%, exposure 62%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.7%p higher than buy and hold, while drawdown improves by 88.5%p (CAGR 3.5%, MDD -11.5%, exposure 4%).
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=13, atrPeriod=18, mult=3.7 |
3.5% | -11.5% | 0.50 | 0.31 | 1.6x | 12 | 4% |
| SMA 크로스오버 fast=35, slow=64 |
11.2% | -55.0% | 0.45 | 0.20 | 4.1x | 63 | 62% |
| 볼린저 밴드 돌파 n=19, k=2.7 |
4.1% | -18.1% | 0.44 | 0.23 | 1.7x | 32 | 10% |
| Donchian 채널 돌파 entryN=62, exitN=37 |
7.3% | -68.1% | 0.41 | 0.11 | 2.6x | 34 | 46% |
| Supertrend period=24, mult=4.6 |
6.6% | -73.0% | 0.38 | 0.09 | 2.3x | 60 | 57% |
| EMA 크로스오버 fast=52, slow=146 |
-23.8% | -100.0% | 0.28 | -0.24 | 0.0x | 23 | 54% |
| ROC 모멘텀 n=58, threshold=0.06 |
3.2% | -69.0% | 0.27 | 0.05 | 1.5x | 186 | 48% |
| ADX / DI 방향성 period=13, threshold=35 |
1.4% | -35.8% | 0.18 | 0.04 | 1.2x | 44 | 9% |
| Parabolic SAR step=0.03, maxStep=0.1 |
-23.0% | -99.4% | 0.12 | -0.23 | 0.0x | 262 | 58% |
| MACD fast=12, slow=26, signal=12 |
-27.3% | -99.5% | -0.02 | -0.27 | 0.0x | 216 | 53% |
| Buy and hold | -18.1% | -100.0% | 0.28 | -0.18 | 0.1x | 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 13-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average