Trend-Following Backtester · Guide · backtest 한국어
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Nomura - NEXT FUNDS For. Equity MSCI-KOKUSAI ETF (2513) backtest
10 trend-following strategies were compared on the full daily history of Nomura - NEXT FUNDS For. Equity MSCI-KOKUSAI ETF (2513). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.2%, MDD -21.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.3%, drawdown -34.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.2%, MDD -29.3%, Sharpe 0.80, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 5.6%p (CAGR 12.2%, MDD -21.6%, exposure 89%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=2, threshold=-0.06 |
15.2% | -29.3% | 0.80 | 0.52 | 3.5x | 13 | 99% |
| EMA 크로스오버 fast=65, slow=377 |
12.7% | -34.9% | 0.76 | 0.36 | 2.9x | 3 | 79% |
| Donchian 채널 돌파 entryN=18, exitN=85 |
12.2% | -21.6% | 0.75 | 0.57 | 2.8x | 15 | 89% |
| SMA 크로스오버 fast=8, slow=54 |
7.4% | -27.9% | 0.60 | 0.26 | 1.9x | 42 | 71% |
| 볼린저 밴드 돌파 n=47, k=0.9 |
6.9% | -18.2% | 0.59 | 0.38 | 1.8x | 60 | 63% |
| MACD fast=44, slow=51, signal=43 |
5.4% | -32.2% | 0.50 | 0.17 | 1.6x | 42 | 55% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=4 |
3.4% | -24.8% | 0.40 | 0.14 | 1.3x | 36 | 45% |
| ADX / DI 방향성 period=36, threshold=12 |
2.4% | -27.9% | 0.29 | 0.09 | 1.2x | 57 | 45% |
| Supertrend period=13, mult=4.4 |
0.9% | -41.0% | 0.14 | 0.02 | 1.1x | 64 | 66% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.6% | -33.3% | 0.11 | 0.02 | 1.1x | 76 | 65% |
| Buy and hold | 15.3% | -34.9% | 0.79 | 0.44 | 3.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 2-day return is greater than -6%
- Sell — Sell when the 2-day return drops to -6% or below