Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Real Estate Investment Corp. backtest
10 trend-following strategies were compared on the full daily history of Japan Real Estate Investment Corp.. 3 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 1.6%, MDD -12.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.4%, drawdown -67.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.6%, MDD -12.4%, Sharpe 0.41, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.0%, MDD -38.5%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 54.6%p (CAGR 1.6%, MDD -12.4%, exposure 1%).
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=25, threshold=39 |
1.6% | -12.4% | 0.41 | 0.12 | 1.4x | 2 | 1% |
| SMA 크로스오버 fast=20, slow=217 |
2.0% | -38.5% | 0.20 | 0.05 | 1.5x | 32 | 52% |
| Donchian 채널 돌파 entryN=171, exitN=86 |
1.5% | -36.3% | 0.18 | 0.04 | 1.4x | 18 | 37% |
| Supertrend period=8, mult=5 |
1.3% | -51.1% | 0.16 | 0.03 | 1.3x | 51 | 53% |
| 볼린저 밴드 돌파 n=45, k=3.5 |
0.7% | -21.0% | 0.14 | 0.03 | 1.2x | 14 | 5% |
| EMA 크로스오버 fast=58, slow=186 |
0.9% | -42.9% | 0.14 | 0.02 | 1.2x | 30 | 53% |
| ROC 모멘텀 n=131, threshold=0.13 |
-0.3% | -45.2% | 0.03 | -0.01 | 0.9x | 96 | 16% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=14, mult=2.6 |
-0.9% | -56.8% | -0.02 | -0.02 | 0.8x | 67 | 31% |
| MACD fast=24, slow=55, signal=23 |
-4.1% | -74.4% | -0.16 | -0.06 | 0.4x | 183 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.7% | -78.7% | -0.26 | -0.07 | 0.3x | 163 | 53% |
| Buy and hold | 1.4% | -67.1% | 0.19 | 0.02 | 1.3x | 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, 25-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)