Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Arena REIT backtest
10 trend-following strategies were compared on the full daily history of Arena REIT. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.4%, MDD -33.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -58.3%).
Sharpe leader (same as main): Supertrend — CAGR 8.4%, MDD -33.5%, Sharpe 0.48, 67% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 24.8%p (CAGR 8.4%, MDD -33.5%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=13, mult=4.2 |
8.4% | -33.5% | 0.48 | 0.25 | 2.9x | 28 | 67% |
| Donchian 채널 돌파 entryN=88, exitN=36 |
5.8% | -28.8% | 0.41 | 0.20 | 2.1x | 22 | 48% |
| EMA 크로스오버 fast=9, slow=116 |
5.6% | -38.6% | 0.38 | 0.14 | 2.0x | 48 | 62% |
| SMA 크로스오버 fast=16, slow=100 |
4.3% | -44.6% | 0.31 | 0.10 | 1.7x | 42 | 62% |
| ROC 모멘텀 n=89, threshold=0.02 |
3.7% | -37.8% | 0.29 | 0.10 | 1.6x | 128 | 55% |
| ADX / DI 방향성 period=22, threshold=37 |
1.4% | -12.7% | 0.28 | 0.11 | 1.2x | 6 | 4% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.5% | -31.9% | 0.28 | 0.11 | 1.6x | 99 | 57% |
| 볼린저 밴드 돌파 n=55, k=2.1 |
-2.0% | -39.3% | -0.05 | -0.05 | 0.8x | 60 | 36% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=1.7 |
-2.6% | -42.1% | -0.08 | -0.06 | 0.7x | 74 | 43% |
| MACD fast=26, slow=44, signal=13 |
-5.9% | -58.1% | -0.25 | -0.10 | 0.5x | 169 | 50% |
| Buy and hold | 9.1% | -58.3% | 0.45 | 0.16 | 3.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 13-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)