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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.1%, MDD -22.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.8%, drawdown -34.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -34.9%, Sharpe 0.83, 76% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.1%, MDD -22.8%, exposure 95%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 0.0%p (CAGR 14.1%, MDD -22.8%, exposure 95%).
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=64, slow=442 |
14.0% | -34.9% | 0.83 | 0.40 | 3.1x | 3 | 76% |
| Donchian 채널 돌파 entryN=7, exitN=91 |
14.1% | -22.8% | 0.79 | 0.62 | 3.1x | 19 | 95% |
| ROC 모멘텀 Hold-like · Exposure 99% n=7, threshold=-0.09 |
13.1% | -30.0% | 0.73 | 0.44 | 2.9x | 19 | 99% |
| 볼린저 밴드 돌파 n=47, k=0.9 |
7.3% | -18.2% | 0.62 | 0.40 | 1.8x | 57 | 63% |
| MACD fast=20, slow=139, signal=31 |
6.3% | -28.0% | 0.57 | 0.22 | 1.7x | 50 | 55% |
| EMA 크로스오버 fast=38, slow=169 |
8.4% | -32.8% | 0.57 | 0.26 | 2.0x | 13 | 80% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=9, mult=0.7 |
5.1% | -28.0% | 0.44 | 0.18 | 1.5x | 73 | 70% |
| ADX / DI 방향성 period=36, threshold=12 |
2.6% | -27.9% | 0.31 | 0.09 | 1.2x | 57 | 44% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.7% | -33.3% | 0.19 | 0.05 | 1.2x | 73 | 66% |
| Supertrend period=17, mult=5 |
0.5% | -40.1% | 0.11 | 0.01 | 1.0x | 53 | 69% |
| Buy and hold | 15.8% | -34.9% | 0.80 | 0.45 | 3.6x | 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 64-day average price crosses above the 442-day average
- Sell — Sell (to cash) when the 64-day average falls below the 442-day average