Trend-Following Backtester · Guide · backtest 한국어
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MAXIS J-REIT ETF backtest
10 trend-following strategies were compared on the full daily history of MAXIS J-REIT ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 2.5%, MDD -16.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.1%, drawdown -49.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -16.3%, Sharpe 0.54, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 2.5%, MDD -16.2%, exposure 29%).
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=121 |
4.5% | -16.3% | 0.54 | 0.27 | 1.7x | 20 | 54% |
| Donchian 채널 돌파 entryN=106, exitN=23 |
2.5% | -16.2% | 0.43 | 0.16 | 1.4x | 22 | 29% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=23, mult=3.8 |
1.8% | -26.1% | 0.36 | 0.07 | 1.3x | 22 | 20% |
| ADX / DI 방향성 period=29, threshold=22 |
1.6% | -22.3% | 0.33 | 0.07 | 1.2x | 36 | 17% |
| 볼린저 밴드 돌파 n=54, k=2.6 |
1.3% | -25.2% | 0.27 | 0.05 | 1.2x | 25 | 22% |
| ROC 모멘텀 n=112, threshold=0.05 |
1.6% | -24.8% | 0.26 | 0.06 | 1.2x | 66 | 33% |
| EMA 크로스오버 fast=50, slow=99 |
1.5% | -24.2% | 0.22 | 0.06 | 1.2x | 20 | 49% |
| Supertrend period=10, mult=4.7 |
0.9% | -41.3% | 0.16 | 0.02 | 1.1x | 41 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-3.5% | -47.0% | -0.31 | -0.08 | 0.6x | 207 | 54% |
| MACD fast=17, slow=32, signal=17 |
-4.6% | -56.8% | -0.47 | -0.08 | 0.6x | 151 | 50% |
| Buy and hold | 2.1% | -49.1% | 0.21 | 0.04 | 1.3x | 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 121-day average
- Sell — Sell (to cash) when the 52-day average falls below the 121-day average