Trend-Following Backtester · Guide · backtest 한국어
etf · SG
Amova-StraitsTrading Asia ex Japan REIT Index ETF NikkoAM StraitsTrading Asia ex Japan REIT backtest
10 trend-following strategies were compared on the full daily history of Amova-StraitsTrading Asia ex Japan REIT Index ETF NikkoAM StraitsTrading Asia ex Japan REIT. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.2%, MDD -4.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.4%, drawdown -46.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -13.8%, Sharpe 0.12, 22% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 32.5%p (CAGR 0.2%, MDD -4.7%, exposure 4%).
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=37, threshold=20 |
0.4% | -13.8% | 0.12 | 0.03 | 1.0x | 12 | 22% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=29, mult=3.9 |
0.2% | -4.7% | 0.10 | 0.04 | 1.0x | 6 | 4% |
| Donchian 채널 돌파 entryN=119, exitN=65 |
-0.4% | -17.6% | -0.05 | -0.02 | 1.0x | 10 | 26% |
| Supertrend period=22, mult=2.6 |
-1.3% | -25.9% | -0.10 | -0.05 | 0.9x | 69 | 51% |
| SMA 크로스오버 fast=18, slow=241 |
-1.3% | -22.1% | -0.17 | -0.06 | 0.9x | 14 | 33% |
| ROC 모멘텀 n=14, threshold=0.07 |
-0.5% | -9.0% | -0.19 | -0.05 | 1.0x | 20 | 1% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.1% | -30.8% | -0.21 | -0.07 | 0.8x | 71 | 51% |
| EMA 크로스오버 fast=36, slow=128 |
-2.0% | -28.2% | -0.27 | -0.07 | 0.8x | 18 | 37% |
| 볼린저 밴드 돌파 n=33, k=2.8 |
-1.1% | -16.0% | -0.28 | -0.07 | 0.9x | 14 | 9% |
| MACD fast=16, slow=54, signal=19 |
-4.3% | -38.3% | -0.48 | -0.11 | 0.7x | 95 | 51% |
| Buy and hold | -2.4% | -46.3% | -0.11 | -0.05 | 0.8x | 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, 37-day) is ≥ 20
- Sell — Sell when direction flips or the trend weakens (ADX < 20)