Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Vital Infrastructure Property Trust backtest
10 trend-following strategies were compared on the full daily history of Vital Infrastructure Property Trust. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -7.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.6%, drawdown -72.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -7.3%, Sharpe 0.04, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 65.1%p (CAGR 0.1%, MDD -7.3%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=25 |
0.1% | -7.3% | 0.04 | 0.01 | 1.0x | 14 | 3% |
| Donchian 채널 돌파 entryN=19, exitN=76 |
-0.8% | -41.4% | 0.03 | -0.02 | 0.9x | 37 | 77% |
| SMA 크로스오버 fast=56, slow=227 |
-0.8% | -48.2% | 0.01 | -0.02 | 0.9x | 19 | 51% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.11 |
-2.1% | -67.1% | -0.01 | -0.03 | 0.7x | 17 | 99% |
| EMA 크로스오버 fast=18, slow=276 |
-0.8% | -32.3% | -0.01 | -0.03 | 0.9x | 19 | 48% |
| Supertrend period=27, mult=5 |
-1.5% | -48.7% | -0.03 | -0.03 | 0.8x | 45 | 60% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
-1.1% | -18.6% | -0.37 | -0.06 | 0.8x | 8 | 3% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-6.6% | -75.7% | -0.40 | -0.09 | 0.3x | 206 | 52% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=20, mult=3.6 |
-0.5% | -8.3% | -0.41 | -0.06 | 0.9x | 2 | 0% |
| MACD fast=16, slow=34, signal=16 |
-7.3% | -76.9% | -0.46 | -0.09 | 0.3x | 226 | 51% |
| Buy and hold | -4.6% | -72.5% | -0.10 | -0.06 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)