Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Nippon Prologis REIT, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nippon Prologis REIT, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.2%, drawdown -46.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.4%, MDD -32.1%, Sharpe 0.23, 50% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=169 |
2.4% | -32.1% | 0.23 | 0.08 | 1.4x | 22 | 50% |
| EMA 크로스오버 fast=45, slow=129 |
1.6% | -30.7% | 0.18 | 0.05 | 1.2x | 23 | 51% |
| Donchian 채널 돌파 entryN=105, exitN=78 |
1.2% | -31.3% | 0.16 | 0.04 | 1.2x | 17 | 42% |
| ADX / DI 방향성 period=22, threshold=31 |
0.4% | -9.0% | 0.15 | 0.04 | 1.1x | 10 | 3% |
| 볼린저 밴드 돌파 n=66, k=2.3 |
0.6% | -28.8% | 0.11 | 0.02 | 1.1x | 31 | 26% |
| ROC 모멘텀 n=125, threshold=0.04 |
-0.2% | -32.3% | 0.05 | -0.01 | 1.0x | 98 | 38% |
| Supertrend period=11, mult=4.9 |
-2.0% | -61.3% | -0.07 | -0.03 | 0.8x | 43 | 49% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=18, mult=3.3 |
-0.8% | -28.0% | -0.14 | -0.03 | 0.9x | 16 | 4% |
| MACD fast=17, slow=32, signal=19 |
-7.7% | -69.6% | -0.47 | -0.11 | 0.3x | 179 | 51% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-8.6% | -82.4% | -0.50 | -0.10 | 0.3x | 247 | 55% |
| Buy and hold | 5.2% | -46.7% | 0.34 | 0.11 | 2.0x | 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 40-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 40-day average falls below the 169-day average