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Trend-Following Backtester · Guide · backtest 한국어

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NEXT FUNDS Nikkei 225 Leveraged Index ETF backtest

10 trend-following strategies were compared on the full daily history of NEXT FUNDS Nikkei 225 Leveraged Index ETF. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.

Data 2012-04-09 ~ 2026-07-31daily bars 3,519 (14.3 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 20.9%, drawdown -62.7%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 15.5%, MDD -31.1%, Sharpe 0.82, 28% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 18.8%, MDD -73.9%, exposure 66%.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=38, atrPeriod=25, mult=3.3
15.5%-31.1%0.820.507.9x4628%
볼린저 밴드 돌파
n=37, k=2.6
11.3%-46.5%0.710.244.6x3219%
Supertrend
period=36, mult=4.6
17.7%-50.9%0.710.3510.2x6664%
Donchian 채널 돌파
entryN=95, exitN=18
11.8%-46.7%0.630.254.9x4833%
SMA 크로스오버
fast=47, slow=147
18.8%-73.9%0.600.2511.8x2766%
Parabolic SAR
step=0.02, maxStep=0.16
12.9%-51.5%0.580.255.7x27060%
EMA 크로스오버
fast=42, slow=88
17.2%-57.1%0.570.309.7x3366%
ADX / DI 방향성
period=31, threshold=17
8.4%-35.1%0.530.243.2x4620%
ROC 모멘텀
n=78, threshold=0.18
9.3%-56.1%0.500.173.6x11132%
MACD
fast=16, slow=53, signal=22
9.7%-64.6%0.490.153.8x15852%
Buy and hold20.9%-62.7%0.630.3315.1x1100%
1x 10x 2013 2015 2017 2019 2021 2023 2025 SMA 크로스오버Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -18% -37% -55% -74% 2013 2015 2017 2019 2021 2023 2025 Buy and holdSMA 크로스오버Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -31.1% (2021-02-16 → 2023-05-08), recovered after 1,101 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore JP assetsAll asset reports

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