Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iShares Japan REIT ETF backtest
10 trend-following strategies were compared on the full daily history of iShares Japan REIT ETF. 5 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 2.3%, MDD -6.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.1%, drawdown -45.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -6.5%, Sharpe 0.54, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -16.4%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 2.3%, MDD -6.5%, exposure 9%).
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=35, threshold=28 |
2.3% | -6.5% | 0.54 | 0.35 | 1.3x | 10 | 9% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=8, mult=3.6 |
2.3% | -12.0% | 0.52 | 0.19 | 1.3x | 16 | 21% |
| SMA 크로스오버 fast=69, slow=107 |
3.2% | -16.4% | 0.43 | 0.20 | 1.4x | 26 | 52% |
| 볼린저 밴드 돌파 n=73, k=2.5 |
2.1% | -19.8% | 0.39 | 0.11 | 1.2x | 16 | 23% |
| Donchian 채널 돌파 entryN=102, exitN=31 |
1.8% | -18.2% | 0.35 | 0.10 | 1.2x | 16 | 27% |
| EMA 크로스오버 fast=47, slow=82 |
1.1% | -24.4% | 0.18 | 0.05 | 1.1x | 20 | 50% |
| ROC 모멘텀 n=106, threshold=0.05 |
0.2% | -24.0% | 0.06 | 0.01 | 1.0x | 76 | 28% |
| Supertrend period=24, mult=5 |
-0.4% | -35.9% | -0.00 | -0.01 | 1.0x | 31 | 57% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-1.3% | -35.9% | -0.08 | -0.04 | 0.9x | 83 | 56% |
| MACD fast=16, slow=58, signal=20 |
-6.1% | -55.5% | -0.65 | -0.11 | 0.5x | 133 | 52% |
| Buy and hold | 1.1% | -45.8% | 0.15 | 0.02 | 1.1x | 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, 35-day) is ≥ 28
- Sell — Sell when direction flips or the trend weakens (ADX < 28)