Trend-Following Backtester · Guide · backtest 한국어
equity · US
Innovative Industrial Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of Innovative Industrial Properties, Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.6%, MDD -34.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 11.8%, drawdown -84.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.2%, MDD -39.5%, Sharpe 0.96, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.4%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 17.6%, MDD -34.7%, exposure 42%).
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=141, threshold=0.05 |
30.2% | -39.5% | 0.96 | 0.76 | 13.1x | 31 | 52% |
| Supertrend period=19, mult=4.6 |
24.4% | -47.7% | 0.82 | 0.51 | 8.4x | 26 | 58% |
| EMA 크로스오버 fast=13, slow=164 |
24.4% | -56.7% | 0.81 | 0.43 | 8.4x | 14 | 53% |
| SMA 크로스오버 fast=48, slow=174 |
23.7% | -51.6% | 0.79 | 0.46 | 8.0x | 9 | 56% |
| Donchian 채널 돌파 entryN=60, exitN=54 |
23.3% | -56.3% | 0.78 | 0.41 | 7.7x | 14 | 56% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=1.2 |
20.6% | -42.6% | 0.74 | 0.48 | 6.2x | 52 | 48% |
| Parabolic SAR step=0.01, maxStep=0.28 |
20.5% | -49.2% | 0.73 | 0.42 | 6.1x | 111 | 50% |
| 볼린저 밴드 돌파 n=37, k=1.5 |
17.6% | -34.7% | 0.68 | 0.51 | 4.9x | 64 | 42% |
| ADX / DI 방향성 period=35, threshold=12 |
15.0% | -50.7% | 0.62 | 0.30 | 3.9x | 56 | 42% |
| MACD fast=24, slow=39, signal=19 |
11.1% | -62.6% | 0.48 | 0.18 | 2.8x | 84 | 52% |
| Buy and hold | 11.8% | -84.4% | 0.48 | 0.14 | 3.0x | 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 141-day return is greater than 5%
- Sell — Sell when the 141-day return drops to 5% or below