Trend-Following Backtester · Guide · backtest 한국어
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NEXT NOTES Dubai Crude Oil Futures Bear ETN backtest
10 trend-following strategies were compared on the full daily history of NEXT NOTES Dubai Crude Oil Futures Bear ETN. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -45.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -19.9%, drawdown -98.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.0%, MDD -56.8%, Sharpe 0.15, 15% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.9%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 0.7%, MDD -45.1%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=25, mult=3.4 |
1.0% | -56.8% | 0.15 | 0.02 | 1.1x | 38 | 15% |
| ADX / DI 방향성 period=9, threshold=34 |
0.8% | -53.7% | 0.13 | 0.02 | 1.1x | 78 | 9% |
| 볼린저 밴드 돌파 n=47, k=3.5 |
0.7% | -45.1% | 0.12 | 0.01 | 1.1x | 10 | 6% |
| EMA 크로스오버 fast=39, slow=86 |
-0.9% | -69.7% | 0.08 | -0.01 | 0.9x | 20 | 24% |
| Donchian 채널 돌파 entryN=117, exitN=7 |
-0.2% | -58.9% | 0.06 | -0.00 | 1.0x | 26 | 7% |
| SMA 크로스오버 fast=23, slow=84 |
-2.3% | -77.1% | 0.03 | -0.03 | 0.7x | 33 | 30% |
| ROC 모멘텀 n=39, threshold=0.09 |
-2.1% | -63.6% | 0.01 | -0.03 | 0.8x | 86 | 15% |
| Supertrend period=19, mult=3.4 |
-3.9% | -75.7% | -0.07 | -0.05 | 0.6x | 110 | 30% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-5.3% | -79.9% | -0.11 | -0.07 | 0.5x | 142 | 38% |
| MACD fast=10, slow=72, signal=15 |
-6.3% | -83.4% | -0.12 | -0.08 | 0.4x | 150 | 50% |
| Buy and hold | -19.9% | -98.2% | -0.47 | -0.20 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 49-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 49-day average