Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Nomura - NEXT FUNDS Intl. Bond FTSE World Govt. Bond (2512) backtest
10 trend-following strategies were compared on the full daily history of Nomura - NEXT FUNDS Intl. Bond FTSE World Govt. Bond (2512). 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR -0.1%, MDD -1.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.6%, drawdown -32.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 0.6%, MDD -3.7%, Sharpe 0.27, 22% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR -0.1%, MDD -1.1%, exposure 0%).
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=65, slow=216 |
0.6% | -3.7% | 0.27 | 0.17 | 1.1x | 2 | 22% |
| EMA 크로스오버 fast=75, slow=158 |
0.5% | -3.7% | 0.23 | 0.14 | 1.0x | 2 | 23% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=11, mult=3.9 |
0.2% | -1.8% | 0.17 | 0.09 | 1.0x | 4 | 4% |
| ADX / DI 방향성 period=34, threshold=31 |
0.3% | -3.7% | 0.14 | 0.07 | 1.0x | 8 | 14% |
| Donchian 채널 돌파 entryN=118, exitN=66 |
0.1% | -6.4% | 0.06 | 0.02 | 1.0x | 4 | 22% |
| ROC 모멘텀 n=41, threshold=0.06 |
-0.1% | -1.1% | -0.48 | -0.12 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=76, k=3.1 |
-1.8% | -18.4% | -0.73 | -0.10 | 0.9x | 12 | 8% |
| Supertrend period=14, mult=4.6 |
-4.4% | -32.4% | -1.00 | -0.13 | 0.7x | 35 | 37% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.9% | -41.1% | -1.40 | -0.14 | 0.6x | 68 | 43% |
| MACD fast=24, slow=51, signal=28 |
-7.3% | -48.4% | -1.58 | -0.15 | 0.5x | 87 | 48% |
| Buy and hold | -3.6% | -32.1% | -0.57 | -0.11 | 0.7x | 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 65-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 65-day average falls below the 216-day average