Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS TOPIX 17 Steel & NonFerrous ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX 17 Steel & NonFerrous ETF. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.9%, MDD -38.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.6%, drawdown -79.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -39.0%, Sharpe 0.52, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 40.2%p (CAGR 3.9%, MDD -38.8%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=33, slow=426 |
8.9% | -39.0% | 0.52 | 0.23 | 4.8x | 5 | 51% |
| SMA 크로스오버 fast=13, slow=150 |
5.0% | -53.0% | 0.33 | 0.09 | 2.4x | 42 | 54% |
| Donchian 채널 돌파 entryN=44, exitN=68 |
5.0% | -55.6% | 0.33 | 0.09 | 2.4x | 42 | 63% |
| ROC 모멘텀 n=81, threshold=0.08 |
3.9% | -38.8% | 0.30 | 0.10 | 2.0x | 158 | 34% |
| 볼린저 밴드 돌파 n=58, k=2.9 |
2.7% | -38.6% | 0.26 | 0.07 | 1.6x | 30 | 18% |
| Keltner 채널 돌파 emaPeriod=88, atrPeriod=13, mult=1.3 |
2.4% | -54.2% | 0.22 | 0.04 | 1.5x | 116 | 48% |
| ADX / DI 방향성 period=36, threshold=18 |
1.6% | -36.6% | 0.19 | 0.04 | 1.3x | 44 | 12% |
| MACD fast=28, slow=47, signal=22 |
1.4% | -52.3% | 0.17 | 0.03 | 1.3x | 144 | 53% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-0.0% | -66.5% | 0.10 | -0.00 | 1.0x | 282 | 52% |
| Supertrend period=15, mult=3.9 |
-0.3% | -61.5% | 0.09 | -0.01 | 0.9x | 156 | 56% |
| Buy and hold | 3.6% | -79.3% | 0.28 | 0.05 | 1.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 426-day EMA
- Sell — Sell when the 33-day EMA falls below the 426-day EMA