Trend-Following Backtester · Guide · backtest 한국어
etf · US
JPMorgan BetaBuilders MSCI U.S. REIT ETF backtest
10 trend-following strategies were compared on the full daily history of JPMorgan BetaBuilders MSCI U.S. REIT ETF. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.9%, MDD -18.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.4%, drawdown -43.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -18.2%, Sharpe 0.36, 59% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.5%, MDD -33.4%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 3.9%, MDD -18.2%, exposure 59%).
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=66, slow=141 |
3.9% | -18.2% | 0.36 | 0.21 | 1.4x | 15 | 59% |
| ROC 모멘텀 Hold-like · Exposure 96% n=9, threshold=-0.07 |
4.5% | -33.4% | 0.33 | 0.14 | 1.4x | 41 | 96% |
| Donchian 채널 돌파 entryN=114, exitN=62 |
0.6% | -26.2% | 0.11 | 0.02 | 1.1x | 14 | 44% |
| ADX / DI 방향성 period=31, threshold=22 |
0.2% | -4.9% | 0.11 | 0.04 | 1.0x | 4 | 3% |
| EMA 크로스오버 fast=54, slow=176 |
0.1% | -27.7% | 0.07 | 0.00 | 1.0x | 11 | 59% |
| Supertrend period=27, mult=4 |
-0.6% | -29.2% | 0.03 | -0.02 | 0.9x | 50 | 59% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-1.1% | -23.7% | -0.01 | -0.05 | 0.9x | 144 | 57% |
| 볼린저 밴드 돌파 n=26, k=3.5 |
-0.1% | -9.5% | -0.02 | -0.01 | 1.0x | 6 | 3% |
| MACD fast=17, slow=42, signal=19 |
-1.8% | -29.3% | -0.07 | -0.06 | 0.9x | 92 | 49% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=29, mult=1.2 |
-2.9% | -31.4% | -0.21 | -0.09 | 0.8x | 92 | 47% |
| Buy and hold | 3.4% | -43.6% | 0.26 | 0.08 | 1.3x | 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 66-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 66-day average falls below the 141-day average