Trend-Following Backtester · Guide · backtest 한국어
equity · SG
Lendlease Global Commercial REIT backtest
10 trend-following strategies were compared on the full daily history of Lendlease Global Commercial REIT. 10 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 3.2%, MDD -13.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.0%, drawdown -51.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.0%, MDD -16.9%, Sharpe 0.50, 12% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 3.2%, MDD -13.0%, exposure 10%).
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=32, threshold=21 |
4.0% | -16.9% | 0.50 | 0.24 | 1.3x | 12 | 12% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=14, mult=2.3 |
3.2% | -13.0% | 0.42 | 0.25 | 1.2x | 14 | 10% |
| ROC 모멘텀 n=172, threshold=0.04 |
3.2% | -16.3% | 0.33 | 0.20 | 1.2x | 14 | 29% |
| SMA 크로스오버 fast=63, slow=108 |
1.8% | -39.6% | 0.20 | 0.05 | 1.1x | 15 | 42% |
| Donchian 채널 돌파 entryN=113, exitN=16 |
1.3% | -17.9% | 0.19 | 0.07 | 1.1x | 10 | 15% |
| MACD fast=40, slow=69, signal=30 |
0.8% | -37.6% | 0.13 | 0.02 | 1.1x | 35 | 48% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
-0.5% | -38.0% | 0.03 | -0.01 | 1.0x | 41 | 33% |
| Supertrend period=15, mult=2.3 |
-1.3% | -40.2% | 0.00 | -0.03 | 0.9x | 55 | 53% |
| EMA 크로스오버 fast=47, slow=182 |
-1.6% | -28.5% | -0.08 | -0.06 | 0.9x | 8 | 31% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-3.2% | -54.5% | -0.12 | -0.06 | 0.8x | 49 | 49% |
| Buy and hold | -6.0% | -51.6% | -0.10 | -0.12 | 0.7x | 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, 32-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)