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 3.0%, MDD -17.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.6%, drawdown -51.2%).
Sharpe leader (same as main): Supertrend — CAGR 5.9%, MDD -22.2%, Sharpe 0.50, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 3.0%, 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 |
5.9% | -22.2% | 0.50 | 0.27 | 2.2x | 43 | 58% |
| Donchian 채널 돌파 entryN=94, exitN=70 |
4.5% | -20.3% | 0.45 | 0.22 | 1.8x | 15 | 49% |
| SMA 크로스오버 fast=15, slow=123 |
4.5% | -23.2% | 0.42 | 0.20 | 1.9x | 29 | 57% |
| 볼린저 밴드 돌파 n=85, k=2.4 |
3.0% | -17.0% | 0.40 | 0.18 | 1.5x | 20 | 27% |
| EMA 크로스오버 fast=41, slow=57 |
3.8% | -23.5% | 0.36 | 0.16 | 1.7x | 31 | 58% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=15, mult=2.7 |
2.9% | -20.1% | 0.34 | 0.14 | 1.5x | 40 | 41% |
| ROC 모멘텀 n=145, threshold=-0.04 |
1.3% | -34.3% | 0.16 | 0.04 | 1.2x | 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 |
-2.3% | -38.5% | -0.11 | -0.06 | 0.7x | 132 | 55% |
| MACD fast=17, slow=26, signal=15 |
-3.6% | -45.9% | -0.21 | -0.08 | 0.6x | 196 | 48% |
| Buy and hold | 1.6% | -51.2% | 0.18 | 0.03 | 1.2x | 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)