Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS TOPIX 17 Banks ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX 17 Banks ETF. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.4%, MDD -28.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 5.2%, drawdown -72.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -33.6%, Sharpe 0.55, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 38.8%p (CAGR 5.4%, MDD -28.1%, exposure 23%).
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=52, slow=125 |
8.9% | -33.6% | 0.55 | 0.27 | 4.8x | 25 | 51% |
| SMA 크로스오버 fast=53, slow=218 |
8.7% | -40.2% | 0.53 | 0.22 | 4.6x | 19 | 52% |
| 볼린저 밴드 돌파 n=53, k=2.7 |
5.4% | -28.1% | 0.49 | 0.19 | 2.6x | 36 | 23% |
| Donchian 채널 돌파 entryN=95, exitN=16 |
5.4% | -31.7% | 0.48 | 0.17 | 2.6x | 49 | 25% |
| Supertrend period=16, mult=4.8 |
5.2% | -58.2% | 0.36 | 0.09 | 2.5x | 81 | 56% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=20, mult=3.3 |
2.9% | -33.7% | 0.28 | 0.09 | 1.7x | 77 | 30% |
| ROC 모멘텀 n=135, threshold=0.06 |
3.4% | -45.7% | 0.28 | 0.07 | 1.8x | 139 | 43% |
| ADX / DI 방향성 period=14, threshold=31 |
1.9% | -25.5% | 0.26 | 0.07 | 1.4x | 58 | 13% |
| MACD fast=11, slow=58, signal=19 |
1.2% | -62.7% | 0.16 | 0.02 | 1.2x | 214 | 52% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.1% | -63.1% | 0.09 | -0.00 | 1.0x | 147 | 53% |
| Buy and hold | 5.2% | -72.4% | 0.33 | 0.07 | 2.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 125-day EMA
- Sell — Sell when the 52-day EMA falls below the 125-day EMA