Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Listed Index Fund Japan High Dividend (TSE Dividend Focus 100) backtest
10 trend-following strategies were compared on the full daily history of Listed Index Fund Japan High Dividend (TSE Dividend Focus 100). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.7%, MDD -20.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -37.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -20.4%, Sharpe 0.75, 63% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.8%, MDD -22.9%, exposure 67%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 8.7%, MDD -20.4%, exposure 63%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=26, slow=211 |
8.7% | -20.4% | 0.75 | 0.43 | 3.9x | 23 | 63% |
| EMA 크로스오버 fast=24, slow=212 |
8.8% | -22.9% | 0.75 | 0.38 | 4.0x | 15 | 67% |
| ROC 모멘텀 n=200, threshold=0.01 |
7.2% | -19.6% | 0.67 | 0.37 | 3.1x | 69 | 62% |
| Donchian 채널 돌파 entryN=83, exitN=55 |
6.8% | -18.4% | 0.66 | 0.37 | 2.9x | 27 | 56% |
| 볼린저 밴드 돌파 n=39, k=2.7 |
3.8% | -10.7% | 0.61 | 0.36 | 1.8x | 31 | 17% |
| Supertrend period=17, mult=3.7 |
5.5% | -22.9% | 0.58 | 0.24 | 2.4x | 83 | 59% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=20, mult=2.9 |
3.2% | -22.8% | 0.46 | 0.14 | 1.7x | 65 | 30% |
| ADX / DI 방향성 period=17, threshold=35 |
1.7% | -9.0% | 0.40 | 0.19 | 1.3x | 28 | 8% |
| Parabolic SAR step=0.01, maxStep=0.16 |
1.2% | -25.1% | 0.17 | 0.05 | 1.2x | 209 | 56% |
| MACD fast=12, slow=28, signal=9 |
-2.8% | -44.6% | -0.22 | -0.06 | 0.6x | 294 | 52% |
| Buy and hold | 9.2% | -37.2% | 0.64 | 0.25 | 4.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 26-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 26-day average falls below the 211-day average