Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Dream Industrial Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Dream Industrial Real Estate Investment Trust. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.3%, MDD -17.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.0%, drawdown -51.2%).
Sharpe leader (same as main): Supertrend — CAGR 6.4%, MDD -22.2%, Sharpe 0.54, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 3.3%, MDD -17.0%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.1 |
6.4% | -22.2% | 0.54 | 0.29 | 2.4x | 43 | 58% |
| Donchian 채널 돌파 entryN=94, exitN=70 |
5.0% | -20.3% | 0.50 | 0.24 | 2.0x | 15 | 48% |
| SMA 크로스오버 fast=15, slow=123 |
5.0% | -23.2% | 0.46 | 0.22 | 2.0x | 29 | 56% |
| 볼린저 밴드 돌파 n=85, k=2.4 |
3.3% | -17.0% | 0.44 | 0.20 | 1.6x | 19 | 27% |
| EMA 크로스오버 fast=41, slow=57 |
4.2% | -23.5% | 0.40 | 0.18 | 1.8x | 31 | 57% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=15, mult=2.7 |
3.2% | -20.1% | 0.37 | 0.16 | 1.5x | 39 | 41% |
| ROC 모멘텀 n=145, threshold=-0.04 |
1.7% | -34.3% | 0.19 | 0.05 | 1.3x | 67 | 63% |
| ADX / DI 방향성 period=32, threshold=22 |
-0.1% | -11.0% | 0.01 | -0.00 | 1.0x | 26 | 10% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-2.0% | -38.5% | -0.09 | -0.05 | 0.8x | 131 | 55% |
| MACD fast=17, slow=26, signal=15 |
-3.6% | -45.9% | -0.22 | -0.08 | 0.6x | 196 | 49% |
| Buy and hold | 2.0% | -51.2% | 0.20 | 0.04 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)