Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS TOPIX 17 FIN (Ex Banks) ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX 17 FIN (Ex Banks) ETF. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.3%, MDD -50.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.1%, drawdown -74.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.3%, MDD -50.6%, Sharpe 0.36, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 23.6%p (CAGR 5.3%, MDD -50.6%, exposure 58%).
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=24, slow=175 |
5.3% | -50.6% | 0.36 | 0.10 | 2.6x | 35 | 58% |
| SMA 크로스오버 fast=29, slow=124 |
4.9% | -44.9% | 0.34 | 0.11 | 2.4x | 43 | 57% |
| Donchian 채널 돌파 entryN=105, exitN=34 |
3.9% | -35.4% | 0.33 | 0.11 | 2.0x | 37 | 34% |
| Supertrend period=10, mult=5 |
4.4% | -42.1% | 0.33 | 0.10 | 2.2x | 101 | 56% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=18, mult=3.5 |
2.6% | -17.7% | 0.32 | 0.14 | 1.6x | 56 | 13% |
| ROC 모멘텀 n=113, threshold=-0.04 |
3.2% | -52.3% | 0.26 | 0.06 | 1.8x | 133 | 67% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
2.5% | -56.0% | 0.24 | 0.05 | 1.6x | 96 | 43% |
| MACD fast=23, slow=66, signal=24 |
1.2% | -36.7% | 0.16 | 0.03 | 1.2x | 146 | 54% |
| ADX / DI 방향성 period=26, threshold=9 |
0.8% | -53.8% | 0.14 | 0.02 | 1.2x | 247 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-3.1% | -57.6% | -0.07 | -0.05 | 0.6x | 285 | 54% |
| Buy and hold | 6.1% | -74.1% | 0.35 | 0.08 | 3.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 175-day EMA
- Sell — Sell when the 24-day EMA falls below the 175-day EMA