Trend-Following Backtester · Guide · backtest 한국어
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NZAM ETF Nikkei 225 backtest
10 trend-following strategies were compared on the full daily history of NZAM ETF Nikkei 225. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -30.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.5%, MDD -5.3%, Sharpe 0.78, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.2%, MDD -26.9%, exposure 63%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=39, k=3.5 |
3.5% | -5.3% | 0.78 | 0.66 | 1.3x | 4 | 7% |
| SMA 크로스오버 fast=45, slow=95 |
12.2% | -26.9% | 0.77 | 0.46 | 2.4x | 25 | 63% |
| Donchian 채널 돌파 entryN=59, exitN=64 |
10.9% | -22.7% | 0.72 | 0.48 | 2.2x | 13 | 68% |
| MACD fast=22, slow=49, signal=44 |
8.2% | -35.4% | 0.65 | 0.23 | 1.8x | 44 | 49% |
| ROC 모멘텀 n=98, threshold=0.07 |
7.6% | -18.4% | 0.62 | 0.41 | 1.7x | 43 | 42% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=18, mult=3.5 |
6.7% | -24.8% | 0.61 | 0.27 | 1.6x | 38 | 38% |
| ADX / DI 방향성 period=25, threshold=18 |
6.5% | -15.1% | 0.58 | 0.43 | 1.6x | 42 | 35% |
| EMA 크로스오버 fast=46, slow=148 |
9.1% | -26.5% | 0.58 | 0.34 | 1.9x | 15 | 72% |
| Supertrend period=23, mult=4.6 |
5.4% | -38.9% | 0.42 | 0.14 | 1.5x | 64 | 63% |
| Parabolic SAR step=0.03, maxStep=0.14 |
1.0% | -29.6% | 0.14 | 0.03 | 1.1x | 142 | 58% |
| Buy and hold | 16.5% | -30.8% | 0.81 | 0.54 | 3.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 39-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 39-day middle average