Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Japan Hotel Reit Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of Japan Hotel Reit Investment Corporation. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.6%, MDD -17.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.9%, drawdown -86.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.6%, MDD -17.8%, Sharpe 0.71, 12% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 9.9%, MDD -51.1%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 69.0%p (CAGR 6.6%, MDD -17.8%, exposure 12%).
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=48, k=3.4 |
6.6% | -17.8% | 0.71 | 0.37 | 3.6x | 16 | 12% |
| ADX / DI 방향성 period=29, threshold=23 |
6.8% | -23.3% | 0.69 | 0.29 | 3.8x | 34 | 13% |
| SMA 크로스오버 fast=49, slow=109 |
9.9% | -51.1% | 0.56 | 0.19 | 6.7x | 44 | 57% |
| Donchian 채널 돌파 entryN=37, exitN=72 |
9.7% | -40.6% | 0.51 | 0.24 | 6.4x | 39 | 69% |
| ROC 모멘텀 n=85, threshold=0 |
7.9% | -38.3% | 0.49 | 0.21 | 4.7x | 179 | 56% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=17, mult=3.8 |
3.7% | -16.0% | 0.46 | 0.23 | 2.1x | 18 | 5% |
| EMA 크로스오버 fast=50, slow=182 |
6.6% | -42.3% | 0.43 | 0.16 | 3.6x | 28 | 55% |
| Supertrend period=22, mult=3.7 |
2.7% | -55.1% | 0.23 | 0.05 | 1.7x | 113 | 54% |
| MACD fast=14, slow=35, signal=13 |
-2.1% | -71.6% | 0.01 | -0.03 | 0.7x | 291 | 51% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-2.9% | -68.5% | -0.03 | -0.04 | 0.6x | 327 | 52% |
| Buy and hold | 3.9% | -86.8% | 0.29 | 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 48-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 48-day middle average