Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Supermarket Income REIT Plc backtest
10 trend-following strategies were compared on the full daily history of Supermarket Income REIT Plc. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.3%, MDD -5.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.5%, drawdown -50.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -5.7%, Sharpe 0.27, 5% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 0.3%, MDD -5.7%, exposure 5%).
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=17, threshold=34 |
0.9% | -5.7% | 0.27 | 0.16 | 1.1x | 10 | 5% |
| Donchian 채널 돌파 entryN=41, exitN=66 |
0.7% | -22.0% | 0.12 | 0.03 | 1.1x | 15 | 57% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=10, mult=3.8 |
0.3% | -5.7% | 0.11 | 0.05 | 1.0x | 4 | 5% |
| EMA 크로스오버 fast=22, slow=182 |
0.5% | -19.7% | 0.10 | 0.03 | 1.0x | 15 | 58% |
| Supertrend period=28, mult=4.4 |
0.1% | -24.3% | 0.06 | 0.00 | 1.0x | 21 | 52% |
| ROC 모멘텀 n=99, threshold=-0.08 |
-0.5% | -39.3% | 0.03 | -0.01 | 1.0x | 29 | 80% |
| SMA 크로스오버 fast=38, slow=97 |
-0.4% | -20.6% | 0.02 | -0.02 | 1.0x | 25 | 53% |
| 볼린저 밴드 돌파 n=56, k=3 |
-1.0% | -16.9% | -0.13 | -0.06 | 0.9x | 14 | 14% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-9.0% | -61.9% | -0.68 | -0.14 | 0.4x | 119 | 52% |
| MACD fast=14, slow=20, signal=16 |
-10.4% | -65.3% | -0.80 | -0.16 | 0.4x | 154 | 49% |
| Buy and hold | -1.5% | -50.8% | 0.01 | -0.03 | 0.9x | 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, 17-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)