Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NEXT FUNDS Japan Bond NOMURA-BPI Exchange Traded Fund backtest
10 trend-following strategies were compared on the full daily history of NEXT FUNDS Japan Bond NOMURA-BPI Exchange Traded Fund. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.7%, drawdown -24.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -0.6%, Sharpe 0.25, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 0.1%, MDD -0.6%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=41 |
0.1% | -0.6% | 0.25 | 0.18 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
-0.3% | -5.2% | -0.14 | -0.07 | 1.0x | 6 | 8% |
| SMA 크로스오버 fast=23, slow=179 |
-0.3% | -7.1% | -0.21 | -0.05 | 1.0x | 6 | 17% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=30, mult=2.9 |
-0.7% | -6.5% | -0.28 | -0.10 | 0.9x | 10 | 11% |
| EMA 크로스오버 fast=56, slow=140 |
-0.5% | -8.2% | -0.36 | -0.07 | 1.0x | 8 | 17% |
| ROC 모멘텀 n=48, threshold=0.05 |
-0.6% | -4.9% | -0.38 | -0.12 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=67, exitN=16 |
-1.0% | -8.4% | -0.45 | -0.12 | 0.9x | 10 | 7% |
| Supertrend period=15, mult=4.9 |
-1.9% | -15.6% | -0.64 | -0.12 | 0.8x | 18 | 35% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.7% | -34.7% | -1.17 | -0.14 | 0.7x | 60 | 41% |
| MACD fast=29, slow=60, signal=71 |
-4.8% | -35.1% | -1.17 | -0.14 | 0.6x | 52 | 48% |
| Buy and hold | -2.7% | -24.6% | -0.50 | -0.11 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)