Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Daiwa House REIT Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of Daiwa House REIT Investment Corporation. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.0%, MDD -24.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.9%, drawdown -90.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -25.6%, Sharpe 0.64, 31% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 64.6%p (CAGR 6.0%, MDD -24.7%, exposure 17%).
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=54, k=2.1 |
8.4% | -25.6% | 0.64 | 0.33 | 5.2x | 59 | 31% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=28, mult=3.4 |
7.2% | -31.3% | 0.59 | 0.23 | 4.1x | 38 | 22% |
| ADX / DI 방향성 period=21, threshold=24 |
6.0% | -24.7% | 0.54 | 0.24 | 3.3x | 70 | 17% |
| Donchian 채널 돌파 entryN=108, exitN=17 |
6.4% | -29.4% | 0.54 | 0.22 | 3.6x | 48 | 21% |
| EMA 크로스오버 fast=49, slow=143 |
8.2% | -46.1% | 0.52 | 0.18 | 5.0x | 18 | 53% |
| SMA 크로스오버 fast=23, slow=109 |
7.2% | -49.9% | 0.48 | 0.15 | 4.2x | 58 | 50% |
| ROC 모멘텀 n=89, threshold=0.04 |
4.2% | -69.2% | 0.33 | 0.06 | 2.3x | 188 | 38% |
| Supertrend period=8, mult=3.7 |
3.4% | -62.6% | 0.27 | 0.05 | 2.0x | 105 | 52% |
| MACD fast=19, slow=58, signal=19 |
1.4% | -75.4% | 0.17 | 0.02 | 1.3x | 199 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.3% | -70.3% | 0.03 | -0.02 | 0.8x | 169 | 56% |
| Buy and hold | 3.9% | -90.2% | 0.28 | 0.04 | 2.2x | 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 54-day average (2.1× volatility)
- Sell — Sell when the close falls back to the 54-day middle average