Trend-Following Backtester · Guide · backtest 한국어
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NEXT FUNDS TOPIX 17 Commercial & Wholesale Trade ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX 17 Commercial & Wholesale Trade ETF. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -18.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR -20.8%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -26.1%, Sharpe 0.47, 25% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.9%, MDD -99.8%, exposure 60%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 25.0%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 1.9%, MDD -18.1%, exposure 10%).
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=102, exitN=13 |
4.2% | -26.1% | 0.47 | 0.16 | 2.1x | 64 | 25% |
| ADX / DI 방향성 period=17, threshold=34 |
1.9% | -18.1% | 0.33 | 0.11 | 1.4x | 32 | 10% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=17, mult=2.3 |
3.0% | -41.7% | 0.32 | 0.07 | 1.7x | 126 | 37% |
| 볼린저 밴드 돌파 n=34, k=2.8 |
1.7% | -19.9% | 0.31 | 0.09 | 1.4x | 22 | 10% |
| SMA 크로스오버 fast=16, slow=147 |
6.9% | -99.8% | 0.24 | 0.07 | 3.2x | 42 | 60% |
| EMA 크로스오버 fast=56, slow=82 |
-24.3% | -100.0% | 0.24 | -0.24 | 0.0x | 26 | 63% |
| Supertrend period=14, mult=5 |
-26.4% | -99.8% | 0.01 | -0.26 | 0.0x | 101 | 58% |
| ROC 모멘텀 n=59, threshold=0.06 |
-28.8% | -99.8% | -0.12 | -0.29 | 0.0x | 218 | 39% |
| MACD fast=17, slow=39, signal=9 |
-31.6% | -99.9% | -0.25 | -0.32 | 0.0x | 273 | 55% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-51.8% | -100.0% | -0.33 | -0.52 | 0.0x | 275 | 56% |
| Buy and hold | -20.8% | -100.0% | 0.24 | -0.21 | 0.0x | 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 102 days
- Sell — Sell when price breaks below the lowest low of the last 13 days