Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Custodian Property Income REIT plc backtest
10 trend-following strategies were compared on the full daily history of Custodian Property Income REIT plc. 6 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -7.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR -2.0%, drawdown -47.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.2%, MDD -7.1%, Sharpe 0.07, 4% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.2%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 0.2%, MDD -7.1%, 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=35, threshold=29 |
0.2% | -7.1% | 0.07 | 0.03 | 1.0x | 8 | 4% |
| ROC 모멘텀 Hold-like · Exposure 99% n=1, threshold=-0.04 |
-1.1% | -42.6% | 0.04 | -0.03 | 0.9x | 31 | 99% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
0.0% | -9.1% | 0.03 | 0.00 | 1.0x | 6 | 3% |
| EMA 크로스오버 fast=61, slow=236 |
-1.6% | -27.0% | -0.09 | -0.06 | 0.8x | 13 | 48% |
| SMA 크로스오버 fast=35, slow=243 |
-2.0% | -30.2% | -0.11 | -0.07 | 0.8x | 17 | 48% |
| Donchian 채널 돌파 entryN=86, exitN=76 |
-2.8% | -30.5% | -0.22 | -0.09 | 0.7x | 18 | 43% |
| Supertrend period=9, mult=3.8 |
-4.1% | -48.0% | -0.22 | -0.08 | 0.6x | 24 | 53% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=2.9 |
-1.0% | -15.1% | -0.26 | -0.07 | 0.9x | 12 | 6% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-10.9% | -78.2% | -0.75 | -0.14 | 0.2x | 94 | 52% |
| MACD fast=12, slow=73, signal=19 |
-11.8% | -79.3% | -0.84 | -0.15 | 0.2x | 180 | 50% |
| Buy and hold | -2.0% | -47.0% | 0.00 | -0.04 | 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, 35-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)