Trend-Following Backtester · Guide · backtest 한국어
equity · JP
GLP J-REIT backtest
10 trend-following strategies were compared on the full daily history of GLP J-REIT. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.0%, drawdown -47.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -0.6%, Sharpe 0.29, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.8%, MDD -47.6%, exposure 48%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=32, threshold=39 |
0.2% | -0.6% | 0.29 | 0.30 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=26, threshold=0.13 |
0.9% | -17.9% | 0.19 | 0.05 | 1.1x | 38 | 3% |
| SMA 크로스오버 fast=57, slow=209 |
1.8% | -47.6% | 0.19 | 0.04 | 1.3x | 20 | 48% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=8, mult=3.7 |
0.3% | -15.2% | 0.09 | 0.02 | 1.0x | 10 | 4% |
| Donchian 채널 돌파 entryN=97, exitN=78 |
0.2% | -30.4% | 0.08 | 0.01 | 1.0x | 17 | 51% |
| EMA 크로스오버 fast=54, slow=99 |
-0.1% | -42.2% | 0.07 | -0.00 | 1.0x | 25 | 52% |
| Supertrend period=17, mult=5 |
-1.1% | -43.5% | -0.00 | -0.02 | 0.9x | 38 | 52% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
-0.4% | -13.6% | -0.09 | -0.03 | 0.9x | 6 | 3% |
| MACD fast=11, slow=36, signal=16 |
-4.0% | -53.2% | -0.23 | -0.08 | 0.6x | 190 | 49% |
| Parabolic SAR step=0.015, maxStep=0.36 |
-5.4% | -68.3% | -0.27 | -0.08 | 0.5x | 242 | 54% |
| Buy and hold | 5.0% | -47.6% | 0.33 | 0.11 | 1.9x | 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, 32-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)