Trend-Following Backtester · Guide · backtest 한국어
equity · GB
NewRiver REIT plc backtest
10 trend-following strategies were compared on the full daily history of NewRiver REIT plc. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.7%, MDD -13.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.2%, drawdown -87.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.7%, MDD -13.2%, Sharpe 0.12, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 74.8%p (CAGR 0.7%, MDD -13.2%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=3, threshold=0.14 |
0.7% | -13.2% | 0.12 | 0.06 | 1.1x | 16 | 0% |
| SMA 크로스오버 fast=17, slow=93 |
-0.0% | -47.1% | 0.09 | -0.00 | 1.0x | 52 | 46% |
| Donchian 채널 돌파 entryN=113, exitN=72 |
-0.1% | -46.5% | 0.07 | -0.00 | 1.0x | 17 | 37% |
| 볼린저 밴드 돌파 n=52, k=3.2 |
-0.1% | -21.7% | 0.02 | -0.00 | 1.0x | 16 | 6% |
| EMA 크로스오버 fast=32, slow=64 |
-1.1% | -47.4% | 0.02 | -0.02 | 0.8x | 48 | 45% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=2.9 |
-0.8% | -27.1% | -0.03 | -0.03 | 0.9x | 30 | 9% |
| Supertrend period=22, mult=5 |
-2.9% | -64.9% | -0.07 | -0.04 | 0.6x | 43 | 48% |
| ADX / DI 방향성 period=17, threshold=30 |
-2.3% | -33.4% | -0.14 | -0.07 | 0.7x | 50 | 6% |
| MACD fast=19, slow=47, signal=13 |
-6.5% | -72.0% | -0.20 | -0.09 | 0.3x | 194 | 48% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-10.7% | -86.5% | -0.44 | -0.12 | 0.1x | 282 | 48% |
| Buy and hold | -7.2% | -87.9% | -0.09 | -0.08 | 0.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than 14%
- Sell — Sell when the 3-day return drops to 14% or below