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 -0.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.5%, drawdown -23.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -0.7%, Sharpe 0.22, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 23.0%p (CAGR 0.1%, MDD -0.7%, 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=35, threshold=41 |
0.1% | -0.7% | 0.22 | 0.14 | 1.0x | 2 | 2% |
| 볼린저 밴드 돌파 n=53, k=3.4 |
-0.3% | -4.3% | -0.15 | -0.08 | 1.0x | 4 | 6% |
| SMA 크로스오버 fast=23, slow=180 |
-0.3% | -7.1% | -0.21 | -0.05 | 1.0x | 6 | 17% |
| EMA 크로스오버 fast=49, slow=102 |
-0.6% | -7.5% | -0.33 | -0.07 | 1.0x | 8 | 19% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=14, mult=3.9 |
-0.6% | -5.9% | -0.38 | -0.10 | 0.9x | 4 | 3% |
| ROC 모멘텀 n=69, threshold=0.05 |
-0.6% | -4.9% | -0.38 | -0.12 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=64, exitN=19 |
-1.1% | -8.9% | -0.48 | -0.12 | 0.9x | 10 | 8% |
| Supertrend period=34, mult=5 |
-1.7% | -14.5% | -0.58 | -0.12 | 0.9x | 20 | 36% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-4.5% | -32.7% | -1.10 | -0.14 | 0.7x | 56 | 41% |
| MACD fast=23, slow=34, signal=29 |
-6.1% | -42.1% | -1.41 | -0.14 | 0.6x | 75 | 48% |
| Buy and hold | -2.5% | -23.7% | -0.46 | -0.10 | 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, 35-day) is ≥ 41
- Sell — Sell when direction flips or the trend weakens (ADX < 41)