Trend-Following Backtester · Guide · backtest 한국어
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NZAM J-REIT CORE Index ETF backtest
10 trend-following strategies were compared on the full daily history of NZAM J-REIT CORE Index ETF. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.6%, MDD -0.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.1%, drawdown -47.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -6.4%, Sharpe 0.79, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.8%, MDD -16.6%, exposure 50%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 0.6%, MDD -0.5%, exposure 0%).
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=27, threshold=27 |
4.1% | -6.4% | 0.79 | 0.64 | 1.4x | 10 | 20% |
| SMA 크로스오버 fast=48, slow=107 |
4.8% | -16.6% | 0.48 | 0.29 | 1.4x | 14 | 50% |
| Donchian 채널 돌파 entryN=111, exitN=37 |
3.0% | -18.1% | 0.35 | 0.17 | 1.3x | 8 | 33% |
| ROC 모멘텀 n=12, threshold=0.13 |
0.6% | -0.5% | 0.30 | 1.25 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=46, slow=62 |
1.5% | -29.4% | 0.19 | 0.05 | 1.1x | 18 | 51% |
| 볼린저 밴드 돌파 n=35, k=2.9 |
-0.1% | -24.4% | 0.02 | -0.01 | 1.0x | 16 | 22% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-3.4% | -40.4% | -0.26 | -0.09 | 0.8x | 50 | 53% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=4 |
-3.1% | -36.6% | -0.33 | -0.08 | 0.8x | 30 | 32% |
| Supertrend period=19, mult=4.9 |
-7.1% | -50.8% | -0.52 | -0.14 | 0.6x | 64 | 50% |
| MACD fast=14, slow=32, signal=15 |
-10.1% | -59.4% | -0.81 | -0.17 | 0.4x | 124 | 49% |
| Buy and hold | 0.1% | -47.6% | 0.11 | 0.00 | 1.0x | 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, 27-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)