Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Listed Index Fund US Equity (NASDAQ100) CurrencyHedge Units backtest
10 trend-following strategies were compared on the full daily history of Listed Index Fund US Equity (NASDAQ100) CurrencyHedge Units. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.6%, MDD -16.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.9%, drawdown -37.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.6%, MDD -16.1%, Sharpe 0.79, 69% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 21.9%p (CAGR 11.6%, MDD -16.1%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=51, slow=112 |
11.6% | -16.1% | 0.79 | 0.72 | 1.9x | 7 | 69% |
| SMA 크로스오버 fast=27, slow=159 |
11.2% | -16.1% | 0.79 | 0.70 | 1.9x | 7 | 66% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=8, mult=3.1 |
7.8% | -13.0% | 0.73 | 0.60 | 1.6x | 27 | 46% |
| ROC 모멘텀 n=145, threshold=-0.04 |
10.7% | -19.2% | 0.71 | 0.56 | 1.8x | 17 | 73% |
| Supertrend period=16, mult=5 |
7.6% | -20.6% | 0.63 | 0.37 | 1.6x | 33 | 56% |
| MACD fast=19, slow=72, signal=37 |
7.3% | -23.1% | 0.62 | 0.32 | 1.5x | 33 | 47% |
| Donchian 채널 돌파 entryN=77, exitN=71 |
8.7% | -17.7% | 0.61 | 0.49 | 1.7x | 9 | 67% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
5.2% | -19.6% | 0.47 | 0.26 | 1.4x | 27 | 49% |
| Parabolic SAR step=0.025, maxStep=0.12 |
1.7% | -22.3% | 0.19 | 0.08 | 1.1x | 109 | 61% |
| ADX / DI 방향성 period=20, threshold=27 |
0.5% | -9.0% | 0.13 | 0.05 | 1.0x | 10 | 7% |
| Buy and hold | 13.9% | -37.9% | 0.68 | 0.37 | 2.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 51-day EMA crosses above the 112-day EMA
- Sell — Sell when the 51-day EMA falls below the 112-day EMA