Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rayonier Inc. REIT backtest
10 trend-following strategies were compared on the full daily history of Rayonier Inc. REIT. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, drawdown -58.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.8%, MDD -58.7%, Sharpe 0.24, 98% 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 98% n=10, threshold=-0.12 |
2.8% | -58.7% | 0.24 | 0.05 | 2.4x | 79 | 98% |
| EMA 크로스오버 fast=59, slow=212 |
1.8% | -60.9% | 0.19 | 0.03 | 1.8x | 40 | 60% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=4 |
0.1% | -2.9% | 0.14 | 0.04 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=33, slow=188 |
0.6% | -56.2% | 0.13 | 0.01 | 1.2x | 52 | 57% |
| ADX / DI 방향성 period=39, threshold=27 |
0.3% | -12.1% | 0.12 | 0.03 | 1.1x | 6 | 2% |
| Donchian 채널 돌파 entryN=118, exitN=57 |
0.4% | -49.0% | 0.10 | 0.01 | 1.1x | 52 | 42% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-0.1% | -67.8% | 0.09 | -0.00 | 1.0x | 171 | 57% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
0.2% | -19.5% | 0.08 | 0.01 | 1.1x | 10 | 4% |
| Supertrend period=20, mult=5 |
-0.8% | -66.4% | 0.06 | -0.01 | 0.8x | 100 | 59% |
| MACD fast=15, slow=52, signal=12 |
-3.9% | -81.4% | -0.08 | -0.05 | 0.3x | 441 | 53% |
| Buy and hold | 4.1% | -58.6% | 0.28 | 0.07 | 3.7x | 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 10-day return is greater than -12%
- Sell — Sell when the 10-day return drops to -12% or below