Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS TOPIX 17 Real Estate ETF backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS TOPIX 17 Real Estate ETF. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.9%, drawdown -69.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -18.7%, Sharpe 0.32, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.1%, MDD -56.3%, exposure 55%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=24, k=2.9 |
2.5% | -18.7% | 0.32 | 0.13 | 1.6x | 36 | 10% |
| SMA 크로스오버 fast=17, slow=149 |
3.1% | -56.3% | 0.25 | 0.05 | 1.7x | 50 | 55% |
| Donchian 채널 돌파 entryN=99, exitN=10 |
2.0% | -33.3% | 0.24 | 0.06 | 1.4x | 64 | 17% |
| ADX / DI 방향성 period=53, threshold=17 |
1.4% | -27.7% | 0.21 | 0.05 | 1.3x | 10 | 6% |
| EMA 크로스오버 fast=18, slow=174 |
0.3% | -58.7% | 0.12 | 0.00 | 1.1x | 46 | 55% |
| Supertrend period=16, mult=4.9 |
0.3% | -59.3% | 0.11 | 0.00 | 1.1x | 88 | 53% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=19, mult=2.6 |
0.3% | -45.9% | 0.09 | 0.01 | 1.1x | 112 | 29% |
| ROC 모멘텀 n=85, threshold=-0.04 |
-1.9% | -62.9% | 0.01 | -0.03 | 0.7x | 194 | 65% |
| MACD fast=21, slow=58, signal=22 |
-2.6% | -58.5% | -0.04 | -0.04 | 0.6x | 165 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.1% | -73.8% | -0.11 | -0.06 | 0.5x | 144 | 55% |
| Buy and hold | 3.9% | -69.2% | 0.28 | 0.06 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 24-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 24-day middle average