Trend-Following Backtester · Guide · backtest 한국어
etf · JP
One ETF Tokyo Stock Exchange REIT Index Units backtest
10 trend-following strategies were compared on the full daily history of One ETF Tokyo Stock Exchange REIT Index Units. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -8.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -37.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -14.6%, Sharpe 0.54, 39% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 22.7%p (CAGR 2.3%, MDD -8.6%, exposure 13%).
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=54, slow=171 |
3.9% | -14.6% | 0.54 | 0.27 | 1.3x | 10 | 39% |
| Donchian 채널 돌파 entryN=106, exitN=52 |
3.3% | -13.7% | 0.54 | 0.24 | 1.3x | 6 | 26% |
| ROC 모멘텀 n=174, threshold=0.09 |
3.1% | -9.6% | 0.53 | 0.32 | 1.2x | 8 | 22% |
| ADX / DI 방향성 period=30, threshold=26 |
2.3% | -8.6% | 0.41 | 0.26 | 1.2x | 6 | 13% |
| 볼린저 밴드 돌파 n=50, k=2.9 |
1.4% | -9.3% | 0.33 | 0.15 | 1.1x | 4 | 9% |
| EMA 크로스오버 fast=50, slow=144 |
1.5% | -19.3% | 0.25 | 0.08 | 1.1x | 10 | 32% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=25, mult=3 |
0.5% | -10.7% | 0.11 | 0.04 | 1.0x | 14 | 15% |
| Supertrend period=15, mult=3.7 |
-4.8% | -40.4% | -0.29 | -0.12 | 0.7x | 31 | 61% |
| MACD fast=13, slow=25, signal=12 |
-6.7% | -50.8% | -0.63 | -0.13 | 0.6x | 113 | 49% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-11.4% | -62.4% | -0.71 | -0.18 | 0.4x | 169 | 51% |
| Buy and hold | -0.9% | -37.3% | 0.06 | -0.02 | 0.9x | 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 54-day average price crosses above the 171-day average
- Sell — Sell (to cash) when the 54-day average falls below the 171-day average