Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nomura Real Estate Master Fund, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nomura Real Estate Master Fund, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.0%, MDD -32.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.7%, drawdown -62.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -32.3%, Sharpe 0.43, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 29.9%p (CAGR 5.0%, MDD -32.3%, exposure 57%).
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=57, slow=138 |
5.0% | -32.3% | 0.43 | 0.15 | 1.9x | 26 | 57% |
| ADX / DI 방향성 period=36, threshold=22 |
2.0% | -10.6% | 0.37 | 0.19 | 1.3x | 14 | 12% |
| 볼린저 밴드 돌파 n=47, k=3 |
1.5% | -14.1% | 0.33 | 0.11 | 1.2x | 14 | 10% |
| Donchian 채널 돌파 entryN=91, exitN=50 |
2.7% | -29.3% | 0.31 | 0.09 | 1.4x | 20 | 44% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=26, mult=3.9 |
1.7% | -16.8% | 0.29 | 0.10 | 1.2x | 20 | 17% |
| EMA 크로스오버 fast=38, slow=112 |
1.9% | -34.2% | 0.21 | 0.06 | 1.3x | 30 | 57% |
| ROC 모멘텀 n=124, threshold=0.05 |
1.1% | -32.5% | 0.15 | 0.03 | 1.2x | 102 | 40% |
| Supertrend period=29, mult=4.4 |
0.5% | -30.6% | 0.11 | 0.02 | 1.1x | 42 | 60% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-3.7% | -60.7% | -0.18 | -0.06 | 0.6x | 195 | 54% |
| MACD fast=13, slow=30, signal=11 |
-5.8% | -72.9% | -0.35 | -0.08 | 0.5x | 203 | 50% |
| Buy and hold | 3.7% | -62.2% | 0.28 | 0.06 | 1.6x | 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 57-day average price crosses above the 138-day average
- Sell — Sell (to cash) when the 57-day average falls below the 138-day average