Trend-Following Backtester · Guide · backtest 한국어
etf · JP
Amova Listed Ind. Fd. J-REIT TSE REIT Ind. Bi-Mon. Di. Py. Ty. backtest
10 trend-following strategies were compared on the full daily history of Amova Listed Ind. Fd. J-REIT TSE REIT Ind. Bi-Mon. Di. Py. Ty.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.2%, MDD -27.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.8%, drawdown -45.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -27.5%, Sharpe 0.61, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 6.2%, MDD -27.5%, exposure 55%).
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=52, slow=102 |
6.2% | -27.5% | 0.61 | 0.23 | 2.9x | 40 | 55% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
2.7% | -19.3% | 0.55 | 0.14 | 1.6x | 10 | 7% |
| Donchian 채널 돌파 entryN=75, exitN=78 |
5.2% | -27.5% | 0.52 | 0.19 | 2.5x | 20 | 57% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=10, mult=3.3 |
2.7% | -14.7% | 0.52 | 0.19 | 1.6x | 30 | 10% |
| ADX / DI 방향성 period=22, threshold=29 |
2.3% | -20.7% | 0.45 | 0.11 | 1.5x | 36 | 11% |
| Supertrend period=20, mult=4.7 |
4.2% | -36.0% | 0.42 | 0.12 | 2.1x | 61 | 59% |
| EMA 크로스오버 fast=24, slow=86 |
3.5% | -30.6% | 0.38 | 0.12 | 1.9x | 44 | 56% |
| ROC 모멘텀 n=127, threshold=-0.08 |
2.5% | -38.6% | 0.26 | 0.06 | 1.6x | 70 | 83% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.4% | -36.6% | 0.10 | 0.01 | 1.1x | 134 | 56% |
| MACD fast=17, slow=32, signal=17 |
-1.1% | -60.7% | -0.05 | -0.02 | 0.8x | 216 | 50% |
| Buy and hold | 4.8% | -45.0% | 0.36 | 0.11 | 2.3x | 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 52-day average price crosses above the 102-day average
- Sell — Sell (to cash) when the 52-day average falls below the 102-day average