Trend-Following Backtester · Guide · backtest 한국어
equity · US
VICI Properties Inc. backtest
10 trend-following strategies were compared on the full daily history of VICI Properties Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.8%, MDD -34.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -60.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.1%, MDD -3.4%, Sharpe 0.65, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 6.7%, MDD -33.5%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 56.8%p (CAGR 4.8%, MDD -34.0%, exposure 73%).
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=20, k=3.1 |
2.1% | -3.4% | 0.65 | 0.61 | 1.2x | 4 | 4% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.09 |
6.7% | -33.5% | 0.38 | 0.20 | 1.7x | 19 | 99% |
| Donchian 채널 돌파 entryN=16, exitN=44 |
4.8% | -34.0% | 0.33 | 0.14 | 1.5x | 24 | 73% |
| Supertrend period=27, mult=3.3 |
1.8% | -46.2% | 0.19 | 0.04 | 1.2x | 50 | 57% |
| EMA 크로스오버 fast=31, slow=34 |
0.1% | -48.0% | 0.09 | 0.00 | 1.0x | 40 | 56% |
| SMA 크로스오버 fast=11, slow=70 |
-0.0% | -47.6% | 0.08 | -0.00 | 1.0x | 40 | 54% |
| MACD fast=13, slow=29, signal=17 |
-0.7% | -38.2% | 0.05 | -0.02 | 0.9x | 123 | 49% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=10, mult=1.9 |
-2.8% | -45.3% | -0.16 | -0.06 | 0.8x | 50 | 30% |
| ADX / DI 방향성 period=14, threshold=31 |
-1.2% | -23.7% | -0.18 | -0.05 | 0.9x | 30 | 10% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.7% | -60.6% | -0.24 | -0.09 | 0.6x | 78 | 53% |
| Buy and hold | 3.1% | -60.2% | 0.26 | 0.05 | 1.3x | 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 20-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 20-day middle average