Trend-Following Backtester · Guide · backtest 한국어
equity · US
Industrial Logistics Properties Trust backtest
10 trend-following strategies were compared on the full daily history of Industrial Logistics Properties Trust. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.2%, MDD -19.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.1%, drawdown -94.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.2%, MDD -19.1%, Sharpe 0.69, 9% exposure.
CAGR reference leader: Supertrend — CAGR 15.5%, MDD -37.1%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 23.2%p higher than buy and hold, while drawdown improves by 74.9%p (CAGR 12.2%, MDD -19.1%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=18, mult=3.2 |
12.2% | -19.1% | 0.69 | 0.64 | 2.7x | 10 | 9% |
| 볼린저 밴드 돌파 n=27, k=3.3 |
10.7% | -19.1% | 0.65 | 0.56 | 2.4x | 8 | 7% |
| Supertrend period=11, mult=3 |
15.5% | -37.1% | 0.60 | 0.42 | 3.4x | 43 | 53% |
| Donchian 채널 돌파 entryN=11, exitN=20 |
11.9% | -40.0% | 0.50 | 0.30 | 2.6x | 49 | 56% |
| EMA 크로스오버 fast=8, slow=16 |
10.6% | -41.5% | 0.47 | 0.26 | 2.4x | 94 | 50% |
| ADX / DI 방향성 period=15, threshold=22 |
8.9% | -28.0% | 0.45 | 0.32 | 2.1x | 62 | 21% |
| ROC 모멘텀 n=42, threshold=0 |
7.7% | -45.8% | 0.39 | 0.17 | 1.9x | 142 | 49% |
| MACD fast=10, slow=37, signal=20 |
4.6% | -82.0% | 0.30 | 0.06 | 1.5x | 106 | 48% |
| Parabolic SAR step=0.005, maxStep=0.28 |
0.9% | -65.9% | 0.19 | 0.01 | 1.1x | 80 | 51% |
| SMA 크로스오버 fast=32, slow=200 |
-1.5% | -61.1% | 0.10 | -0.02 | 0.9x | 11 | 51% |
| Buy and hold | -11.1% | -94.0% | -0.00 | -0.12 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 22-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 22-day average