Trend-Following Backtester · Guide · backtest 한국어
equity · KR
TIGER 리츠부동산인프라 backtest
10 trend-following strategies were compared on the full daily history of TIGER 리츠부동산인프라. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -3.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.2%, drawdown -42.9%).
Sharpe leader (same as main): Supertrend — CAGR 3.7%, MDD -19.1%, Sharpe 0.50, 58% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 0.4%, MDD -3.6%, exposure 4%).
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=23, mult=4.9 |
3.7% | -19.1% | 0.50 | 0.20 | 1.3x | 22 | 58% |
| Parabolic SAR step=0.005, maxStep=0.28 |
2.9% | -14.8% | 0.40 | 0.20 | 1.2x | 52 | 55% |
| ROC 모멘텀 n=134, threshold=0.01 |
2.6% | -16.5% | 0.39 | 0.16 | 1.2x | 26 | 46% |
| EMA 크로스오버 fast=13, slow=162 |
1.9% | -20.5% | 0.29 | 0.09 | 1.1x | 10 | 43% |
| SMA 크로스오버 fast=19, slow=48 |
1.6% | -17.4% | 0.23 | 0.09 | 1.1x | 35 | 59% |
| Donchian 채널 돌파 entryN=83, exitN=136 |
1.3% | -21.2% | 0.21 | 0.06 | 1.1x | 6 | 43% |
| ADX / DI 방향성 period=37, threshold=26 |
0.4% | -3.6% | 0.21 | 0.12 | 1.0x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=19, mult=0.7 |
0.4% | -19.2% | 0.09 | 0.02 | 1.0x | 52 | 50% |
| 볼린저 밴드 돌파 n=31, k=1.2 |
0.1% | -18.5% | 0.05 | 0.01 | 1.0x | 57 | 43% |
| MACD fast=18, slow=19, signal=10 |
-2.9% | -25.5% | -0.33 | -0.12 | 0.8x | 102 | 51% |
| Buy and hold | -3.2% | -42.9% | -0.17 | -0.07 | 0.8x | 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) — 23-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)