Trend-Following Backtester · Guide · backtest 한국어
equity · US
Global Net Lease, Inc. backtest
10 trend-following strategies were compared on the full daily history of Global Net Lease, Inc.. 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 0.4%, MDD -5.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.0%, drawdown -76.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -5.6%, Sharpe 0.13, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.3%p higher than buy and hold, while drawdown improves by 71.0%p (CAGR 0.4%, MDD -5.6%, exposure 3%).
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 |
0.4% | -5.6% | 0.13 | 0.07 | 1.0x | 6 | 3% |
| SMA 크로스오버 fast=14, slow=30 |
-1.6% | -42.4% | 0.01 | -0.04 | 0.8x | 96 | 48% |
| MACD fast=17, slow=51, signal=9 |
-2.1% | -46.1% | -0.01 | -0.05 | 0.8x | 144 | 49% |
| ROC 모멘텀 n=50, threshold=0.15 |
-1.0% | -26.5% | -0.08 | -0.04 | 0.9x | 64 | 8% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
-1.4% | -32.1% | -0.08 | -0.04 | 0.9x | 26 | 16% |
| Donchian 채널 돌파 entryN=112, exitN=16 |
-1.4% | -30.0% | -0.16 | -0.05 | 0.9x | 18 | 11% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=3.9 |
-1.4% | -24.6% | -0.17 | -0.06 | 0.9x | 14 | 10% |
| Supertrend period=27, mult=3.6 |
-6.4% | -65.7% | -0.21 | -0.10 | 0.5x | 54 | 54% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-8.9% | -70.6% | -0.36 | -0.13 | 0.4x | 186 | 49% |
| EMA 크로스오버 fast=11, slow=29 |
-7.5% | -59.6% | -0.36 | -0.13 | 0.4x | 94 | 48% |
| Buy and hold | -10.0% | -76.6% | -0.15 | -0.13 | 0.3x | 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)