Trend-Following Backtester · Guide · backtest 한국어
equity · US
NetSTREIT Corp. backtest
10 trend-following strategies were compared on the full daily history of NetSTREIT Corp.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.7%, MDD -5.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.2%, drawdown -48.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.7%, MDD -5.3%, Sharpe 0.70, 6% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.6%, MDD -18.9%, exposure 28%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 3.7%, MDD -5.3%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=3.4 |
3.7% | -5.3% | 0.70 | 0.70 | 1.2x | 2 | 6% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=2.9 |
4.1% | -12.7% | 0.55 | 0.33 | 1.3x | 10 | 14% |
| ROC 모멘텀 n=116, threshold=0.08 |
4.6% | -18.9% | 0.45 | 0.24 | 1.3x | 14 | 28% |
| Donchian 채널 돌파 entryN=118, exitN=51 |
3.4% | -16.9% | 0.38 | 0.20 | 1.2x | 5 | 25% |
| EMA 크로스오버 fast=59, slow=161 |
4.4% | -31.5% | 0.37 | 0.14 | 1.3x | 5 | 41% |
| Supertrend period=20, mult=4.8 |
4.3% | -24.7% | 0.35 | 0.18 | 1.3x | 12 | 44% |
| SMA 크로스오버 fast=35, slow=118 |
1.9% | -35.3% | 0.20 | 0.05 | 1.1x | 11 | 40% |
| ADX / DI 방향성 period=37, threshold=12 |
0.5% | -19.9% | 0.10 | 0.03 | 1.0x | 26 | 20% |
| MACD fast=9, slow=26, signal=19 |
-2.1% | -40.6% | -0.04 | -0.05 | 0.9x | 94 | 48% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.1% | -43.7% | -0.09 | -0.07 | 0.8x | 58 | 55% |
| Buy and hold | 2.2% | -48.8% | 0.21 | 0.05 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 33-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 33-day middle average