Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Tritax Big Box REIT PLC backtest
10 trend-following strategies were compared on the full daily history of Tritax Big Box REIT PLC. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 4.7%, MDD -36.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.2%, drawdown -50.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.7%, MDD -36.8%, Sharpe 0.35, 83% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 4.7%, MDD -36.8%, exposure 83%).
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 n=201, threshold=-0.13 |
4.7% | -36.8% | 0.35 | 0.13 | 1.8x | 29 | 83% |
| Donchian 채널 돌파 entryN=105, exitN=41 |
2.8% | -24.8% | 0.31 | 0.11 | 1.4x | 22 | 39% |
| EMA 크로스오버 fast=55, slow=138 |
2.7% | -27.8% | 0.26 | 0.10 | 1.4x | 19 | 65% |
| SMA 크로스오버 fast=24, slow=195 |
2.4% | -25.3% | 0.24 | 0.10 | 1.4x | 27 | 62% |
| Supertrend period=30, mult=3.9 |
2.0% | -45.2% | 0.20 | 0.04 | 1.3x | 53 | 68% |
| ADX / DI 방향성 period=26, threshold=33 |
0.4% | -7.7% | 0.20 | 0.05 | 1.1x | 4 | 2% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
0.2% | -4.9% | 0.12 | 0.04 | 1.0x | 3 | 2% |
| MACD fast=15, slow=35, signal=19 |
-0.1% | -35.8% | 0.07 | -0.00 | 1.0x | 155 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.6% | -45.9% | -0.10 | -0.06 | 0.7x | 117 | 58% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=21, mult=4 |
-0.2% | -4.5% | -0.17 | -0.04 | 1.0x | 2 | 1% |
| Buy and hold | 4.2% | -50.4% | 0.29 | 0.08 | 1.7x | 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 201-day return is greater than -13%
- Sell — Sell when the 201-day return drops to -13% or below