Trend-Following Backtester · Guide · backtest 한국어
equity · US
NNN REIT, Inc. backtest
10 trend-following strategies were compared on the full daily history of NNN REIT, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -59.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.5%, MDD -62.1%, Sharpe 0.28, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 Hold-like · Exposure 100% n=5, threshold=-0.15 |
3.5% | -62.1% | 0.28 | 0.06 | 4.3x | 21 | 100% |
| Donchian 채널 돌파 entryN=68, exitN=249 |
1.6% | -55.8% | 0.20 | 0.03 | 1.9x | 33 | 81% |
| 볼린저 밴드 돌파 n=24, k=3.5 |
0.6% | -10.7% | 0.20 | 0.05 | 1.3x | 10 | 1% |
| SMA 크로스오버 fast=53, slow=103 |
1.1% | -62.9% | 0.18 | 0.02 | 1.6x | 111 | 61% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=22, mult=3.5 |
0.4% | -15.0% | 0.15 | 0.03 | 1.2x | 18 | 2% |
| EMA 크로스오버 fast=58, slow=90 |
-0.7% | -71.3% | 0.10 | -0.01 | 0.8x | 79 | 62% |
| Supertrend period=22, mult=4.5 |
-0.8% | -56.8% | 0.08 | -0.01 | 0.7x | 114 | 56% |
| ADX / DI 방향성 period=35, threshold=30 |
0.2% | -12.5% | 0.06 | 0.01 | 1.1x | 8 | 2% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.9% | -91.7% | -0.07 | -0.05 | 0.1x | 350 | 55% |
| MACD fast=23, slow=70, signal=27 |
-15.5% | -99.9% | -0.52 | -0.15 | 0.0x | 458 | 52% |
| Buy and hold | 3.7% | -59.7% | 0.28 | 0.06 | 4.6x | 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 5-day return is greater than -15%
- Sell — Sell when the 5-day return drops to -15% or below