Trend-Following Backtester · Guide · backtest 한국어
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Nomura - NEXT FUNDS For. REIT S&P Dev. REIT Index (2515) backtest
10 trend-following strategies were compared on the full daily history of Nomura - NEXT FUNDS For. REIT S&P Dev. REIT Index (2515). 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.7%, MDD -33.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.7%, drawdown -43.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.4%, MDD -4.9%, Sharpe 0.67, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.7%, MDD -33.2%, exposure 90%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.2%p lower than buy and hold, while drawdown improves by 38.9%p (CAGR 6.7%, MDD -33.2%, exposure 90%).
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=52, k=3.3 |
2.4% | -4.9% | 0.67 | 0.50 | 1.2x | 2 | 7% |
| Donchian 채널 돌파 entryN=12, exitN=113 |
6.7% | -33.2% | 0.47 | 0.20 | 1.8x | 15 | 90% |
| ADX / DI 방향성 period=33, threshold=20 |
1.9% | -9.9% | 0.44 | 0.19 | 1.2x | 7 | 10% |
| SMA 크로스오버 fast=7, slow=218 |
4.9% | -31.4% | 0.43 | 0.16 | 1.5x | 17 | 64% |
| ROC 모멘텀 n=84, threshold=-0.06 |
5.1% | -34.7% | 0.40 | 0.15 | 1.5x | 47 | 82% |
| EMA 크로스오버 fast=8, slow=137 |
3.5% | -31.0% | 0.33 | 0.11 | 1.3x | 29 | 66% |
| Supertrend period=36, mult=3.3 |
2.4% | -32.3% | 0.24 | 0.07 | 1.2x | 67 | 62% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=7, mult=2.1 |
-0.0% | -28.9% | 0.06 | -0.00 | 1.0x | 47 | 54% |
| Parabolic SAR step=0.025, maxStep=0.22 |
-1.4% | -30.9% | -0.04 | -0.04 | 0.9x | 195 | 58% |
| MACD fast=17, slow=30, signal=16 |
-2.9% | -35.3% | -0.17 | -0.08 | 0.8x | 123 | 50% |
| Buy and hold | 6.7% | -43.8% | 0.43 | 0.15 | 1.8x | 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 52-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 52-day middle average