Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Lendlease Global Commercial REIT backtest
10 trend-following strategies were compared on the full daily history of Lendlease Global Commercial REIT. 10 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 3.3%, MDD -8.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.9%, drawdown -51.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -8.0%, Sharpe 0.57, 9% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 43.6%p (CAGR 3.3%, MDD -8.0%, exposure 9%).
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=24, threshold=29 |
3.3% | -8.0% | 0.57 | 0.42 | 1.3x | 6 | 9% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=2.3 |
3.1% | -13.0% | 0.41 | 0.24 | 1.2x | 14 | 10% |
| ROC 모멘텀 n=30, threshold=0.1 |
2.1% | -21.3% | 0.28 | 0.10 | 1.2x | 46 | 10% |
| 볼린저 밴드 돌파 n=17, k=3.1 |
1.4% | -10.4% | 0.27 | 0.13 | 1.1x | 4 | 2% |
| MACD fast=22, slow=45, signal=19 |
1.4% | -35.3% | 0.17 | 0.04 | 1.1x | 56 | 47% |
| Donchian 채널 돌파 entryN=115, exitN=20 |
0.7% | -19.0% | 0.13 | 0.04 | 1.1x | 10 | 17% |
| SMA 크로스오버 fast=58, slow=95 |
0.2% | -42.1% | 0.08 | 0.00 | 1.0x | 18 | 44% |
| Parabolic SAR step=0.01, maxStep=0.06 |
-1.2% | -43.0% | 0.01 | -0.03 | 0.9x | 64 | 51% |
| Supertrend period=14, mult=2.2 |
-1.5% | -38.0% | -0.01 | -0.04 | 0.9x | 58 | 52% |
| EMA 크로스오버 fast=11, slow=144 |
-1.6% | -30.4% | -0.07 | -0.05 | 0.9x | 20 | 35% |
| Buy and hold | -6.9% | -51.6% | -0.14 | -0.13 | 0.6x | 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, 24-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)