Trend-Following Backtester · Guide · backtest 한국어
etf · JP
MAXIS S&P500 US Equity ETF backtest
10 trend-following strategies were compared on the full daily history of MAXIS S&P500 US Equity ETF. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -4.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR -14.9%, drawdown -99.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.4%, MDD -4.8%, Sharpe 0.82, 9% exposure.
CAGR reference leader: Parabolic SAR — CAGR 4.6%, MDD -19.7%, exposure 63%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.3%p higher than buy and hold, while drawdown improves by 94.2%p (CAGR 3.4%, MDD -4.8%, exposure 9%).
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=30, k=3 |
3.4% | -4.8% | 0.82 | 0.70 | 1.2x | 4 | 9% |
| Parabolic SAR step=0.02, maxStep=0.32 |
4.6% | -19.7% | 0.40 | 0.23 | 1.3x | 132 | 63% |
| EMA 크로스오버 fast=53, slow=120 |
-16.6% | -99.0% | 0.37 | -0.17 | 0.3x | 6 | 81% |
| SMA 크로스오버 fast=25, slow=216 |
-19.2% | -99.0% | 0.36 | -0.19 | 0.2x | 10 | 76% |
| ROC 모멘텀 n=12, threshold=-0.06 |
-15.8% | -90.3% | 0.15 | -0.17 | 0.3x | 39 | 93% |
| Donchian 채널 돌파 entryN=36, exitN=66 |
-19.0% | -90.2% | 0.04 | -0.21 | 0.3x | 14 | 81% |
| Supertrend period=18, mult=3.2 |
-20.3% | -90.2% | -0.01 | -0.22 | 0.2x | 66 | 71% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=11, mult=1.2 |
-21.1% | -90.2% | -0.04 | -0.23 | 0.2x | 48 | 67% |
| MACD fast=18, slow=46, signal=16 |
-24.8% | -90.3% | -0.17 | -0.27 | 0.2x | 73 | 48% |
| ADX / DI 방향성 period=33, threshold=13 |
-26.0% | -90.2% | -0.23 | -0.29 | 0.1x | 34 | 37% |
| Buy and hold | -14.9% | -99.0% | 0.37 | -0.15 | 0.3x | 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 30-day average (3× volatility)
- Sell — Sell when the close falls back to the 30-day middle average