Trend-Following Backtester · Guide · backtest 한국어
etf · JP
iFreeETF Tokyo Stock Exchange REIT Index backtest
10 trend-following strategies were compared on the full daily history of iFreeETF Tokyo Stock Exchange REIT Index. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.5%, MDD -5.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.5%, drawdown -48.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.2%, MDD -10.1%, Sharpe 0.65, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.3%, MDD -18.4%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 1.5%, MDD -5.6%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=77, k=2.2 |
3.2% | -10.1% | 0.65 | 0.32 | 1.4x | 12 | 24% |
| SMA 크로스오버 fast=57, slow=113 |
3.3% | -18.4% | 0.45 | 0.18 | 1.4x | 24 | 52% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=22, mult=3.5 |
2.1% | -15.0% | 0.42 | 0.14 | 1.2x | 20 | 27% |
| Donchian 채널 돌파 entryN=76, exitN=27 |
2.3% | -12.6% | 0.41 | 0.18 | 1.2x | 18 | 34% |
| ADX / DI 방향성 period=35, threshold=24 |
1.5% | -5.6% | 0.41 | 0.27 | 1.2x | 10 | 12% |
| ROC 모멘텀 n=81, threshold=0.07 |
1.1% | -10.5% | 0.26 | 0.11 | 1.1x | 40 | 15% |
| EMA 크로스오버 fast=31, slow=74 |
1.2% | -33.1% | 0.19 | 0.04 | 1.1x | 24 | 52% |
| Supertrend period=27, mult=3.1 |
-2.2% | -34.5% | -0.18 | -0.06 | 0.8x | 80 | 58% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-3.1% | -34.4% | -0.33 | -0.09 | 0.7x | 84 | 53% |
| MACD fast=16, slow=17, signal=16 |
-5.3% | -45.5% | -0.58 | -0.12 | 0.6x | 146 | 51% |
| Buy and hold | 0.5% | -48.8% | 0.12 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 77-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 77-day middle average