Trend-Following Backtester · Guide · backtest 한국어
etf · JP
NZAM J-REIT Index ETF backtest
10 trend-following strategies were compared on the full daily history of NZAM J-REIT Index ETF. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -9.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 2.0%, drawdown -48.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -9.0%, Sharpe 0.56, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.7%, MDD -18.0%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 39.6%p (CAGR 2.3%, MDD -9.0%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=21, threshold=29 |
2.3% | -9.0% | 0.56 | 0.26 | 1.3x | 16 | 11% |
| SMA 크로스오버 fast=50, slow=109 |
4.7% | -18.0% | 0.49 | 0.26 | 1.8x | 26 | 54% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=3.9 |
2.3% | -22.3% | 0.40 | 0.10 | 1.3x | 20 | 21% |
| ROC 모멘텀 n=19, threshold=0.14 |
0.1% | -0.5% | 0.29 | 0.26 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=141, exitN=53 |
1.9% | -16.5% | 0.27 | 0.12 | 1.3x | 14 | 37% |
| EMA 크로스오버 fast=41, slow=48 |
2.0% | -28.2% | 0.25 | 0.07 | 1.3x | 30 | 56% |
| 볼린저 밴드 돌파 n=56, k=2.7 |
0.7% | -24.6% | 0.15 | 0.03 | 1.1x | 20 | 16% |
| Supertrend period=6, mult=4.5 |
-0.6% | -32.9% | 0.01 | -0.02 | 0.9x | 47 | 58% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-7.2% | -64.8% | -0.53 | -0.11 | 0.4x | 205 | 54% |
| MACD fast=23, slow=45, signal=19 |
-6.5% | -60.1% | -0.57 | -0.11 | 0.4x | 127 | 51% |
| Buy and hold | 2.0% | -48.6% | 0.20 | 0.04 | 1.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 21-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)