Trend-Following Backtester · Guide · backtest 한국어

etf · JP

Nomura - NEXT FUNDS For. REIT S&P Dev. REIT Index (2515) backtest

10 trend-following strategies were compared on the full daily history of Nomura - NEXT FUNDS For. REIT S&P Dev. REIT Index (2515). 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.7%, MDD -33.2%).

Data 2017-12-06 ~ 2026-07-31daily bars 2,125 (8.6 years)Costs 0.5%Venue TSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 6.7%, drawdown -43.8%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -4.9%, Sharpe 0.67, 7% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -33.2%, exposure 90%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 38.9%p (CAGR 6.7%, MDD -33.2%, exposure 90%).

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
볼린저 밴드 돌파
n=52, k=3.3
2.4%-4.9%0.670.501.2x27%
Donchian 채널 돌파
entryN=12, exitN=113
6.7%-33.2%0.470.201.8x1590%
ADX / DI 방향성
period=33, threshold=20
1.9%-9.9%0.440.191.2x710%
SMA 크로스오버
fast=7, slow=218
4.9%-31.4%0.430.161.5x1764%
ROC 모멘텀
n=84, threshold=-0.06
5.1%-34.7%0.400.151.5x4782%
EMA 크로스오버
fast=8, slow=137
3.5%-31.0%0.330.111.3x2966%
Supertrend
period=36, mult=3.3
2.4%-32.3%0.240.071.2x6762%
Keltner 채널 돌파
emaPeriod=76, atrPeriod=7, mult=2.1
-0.0%-28.9%0.06-0.001.0x4754%
Parabolic SAR
step=0.025, maxStep=0.22
-1.4%-30.9%-0.04-0.040.9x19558%
MACD
fast=17, slow=30, signal=16
-2.9%-35.3%-0.17-0.080.8x12350%
Buy and hold6.7%-43.8%0.430.151.8x1100%
1x 2018 2020 2022 2024 2026 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -11% -22% -33% -44% 2018 2020 2022 2024 2026 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -4.9% (2021-09-03 → 2021-09-14), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next