Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iFreeETF-Nikkei225(Quarterly Dividend Type) backtest
10 trend-following strategies were compared on the full daily history of iFreeETF-Nikkei225(Quarterly Dividend Type). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.1%, drawdown -25.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.6%, MDD -24.7%, Sharpe 0.86, 60% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=56, slow=260 |
14.6% | -24.7% | 0.86 | 0.59 | 2.2x | 9 | 60% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=3 |
8.2% | -16.1% | 0.73 | 0.51 | 1.6x | 20 | 29% |
| EMA 크로스오버 fast=48, slow=191 |
11.5% | -27.4% | 0.69 | 0.42 | 1.9x | 9 | 67% |
| ADX / DI 방향성 period=17, threshold=35 |
4.6% | -7.7% | 0.68 | 0.60 | 1.3x | 8 | 11% |
| Supertrend period=13, mult=4.2 |
9.3% | -27.9% | 0.66 | 0.33 | 1.7x | 28 | 61% |
| MACD fast=23, slow=42, signal=19 |
7.8% | -27.6% | 0.60 | 0.28 | 1.5x | 52 | 49% |
| 볼린저 밴드 돌파 n=26, k=2.3 |
6.3% | -16.0% | 0.59 | 0.40 | 1.4x | 30 | 29% |
| Donchian 채널 돌파 entryN=78, exitN=16 |
6.3% | -20.4% | 0.58 | 0.31 | 1.4x | 18 | 28% |
| ROC 모멘텀 n=91, threshold=0.12 |
6.4% | -15.0% | 0.58 | 0.43 | 1.4x | 19 | 28% |
| Parabolic SAR step=0.035, maxStep=0.1 |
1.2% | -31.8% | 0.16 | 0.04 | 1.1x | 120 | 59% |
| Buy and hold | 18.1% | -25.7% | 0.88 | 0.70 | 2.6x | 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 56-day average price crosses above the 260-day average
- Sell — Sell (to cash) when the 56-day average falls below the 260-day average