Trend-Following Backtester · Guide · backtest 한국어
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Global X Logistics J-REIT ETF Units backtest
10 trend-following strategies were compared on the full daily history of Global X Logistics J-REIT ETF Units. 7 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 2.2%, MDD -4.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.3%, drawdown -38.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -4.3%, Sharpe 0.63, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.3%, MDD -15.9%, exposure 32%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 34.0%p (CAGR 2.2%, MDD -4.3%, exposure 8%).
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=24, threshold=34 |
2.2% | -4.3% | 0.63 | 0.51 | 1.1x | 4 | 8% |
| SMA 크로스오버 fast=59, slow=135 |
3.3% | -15.9% | 0.51 | 0.21 | 1.2x | 6 | 32% |
| Donchian 채널 돌파 entryN=119, exitN=30 |
1.9% | -8.7% | 0.38 | 0.22 | 1.1x | 4 | 18% |
| EMA 크로스오버 fast=46, slow=128 |
2.4% | -16.2% | 0.35 | 0.15 | 1.2x | 4 | 30% |
| 볼린저 밴드 돌파 n=45, k=2.7 |
1.5% | -11.4% | 0.29 | 0.13 | 1.1x | 8 | 17% |
| ROC 모멘텀 n=144, threshold=0.04 |
1.2% | -11.4% | 0.21 | 0.10 | 1.1x | 16 | 25% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=18, mult=4 |
-0.9% | -14.2% | -0.13 | -0.06 | 0.9x | 8 | 14% |
| Supertrend period=15, mult=3.6 |
-3.8% | -38.0% | -0.33 | -0.10 | 0.8x | 31 | 50% |
| MACD fast=19, slow=57, signal=12 |
-6.0% | -43.3% | -0.55 | -0.14 | 0.7x | 67 | 51% |
| Parabolic SAR step=0.02, maxStep=0.42 |
-9.1% | -52.2% | -0.88 | -0.17 | 0.6x | 117 | 46% |
| Buy and hold | -2.3% | -38.2% | -0.08 | -0.06 | 0.9x | 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, 24-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)