Trend-Following Backtester · Guide · backtest 한국어
equity · JP
ORIX JREIT Inc. backtest
10 trend-following strategies were compared on the full daily history of ORIX JREIT Inc.. 8 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 4.1%, MDD -16.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.5%, drawdown -77.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.1%, MDD -16.3%, Sharpe 0.49, 13% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.6%, MDD -49.3%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 60.8%p (CAGR 4.1%, MDD -16.3%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=25 |
4.1% | -16.3% | 0.49 | 0.25 | 2.3x | 48 | 13% |
| 볼린저 밴드 돌파 n=47, k=3 |
3.4% | -21.1% | 0.43 | 0.16 | 2.0x | 28 | 14% |
| Donchian 채널 돌파 entryN=113, exitN=54 |
4.3% | -34.8% | 0.38 | 0.12 | 2.4x | 26 | 39% |
| SMA 크로스오버 fast=31, slow=113 |
4.6% | -49.3% | 0.36 | 0.09 | 2.5x | 48 | 55% |
| Supertrend period=6, mult=4.8 |
3.7% | -57.9% | 0.29 | 0.06 | 2.1x | 65 | 60% |
| EMA 크로스오버 fast=58, slow=72 |
3.1% | -49.6% | 0.27 | 0.06 | 1.9x | 36 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=26, mult=3.7 |
2.4% | -34.5% | 0.26 | 0.07 | 1.6x | 47 | 25% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.1% | -46.2% | 0.21 | 0.04 | 1.5x | 155 | 54% |
| ROC 모멘텀 n=91, threshold=-0.03 |
0.3% | -68.2% | 0.11 | 0.00 | 1.1x | 185 | 64% |
| MACD fast=24, slow=58, signal=22 |
-0.6% | -61.4% | 0.06 | -0.01 | 0.9x | 173 | 51% |
| Buy and hold | 1.5% | -77.2% | 0.20 | 0.02 | 1.4x | 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, 22-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)