Trend-Following Backtester · Guide · backtest 한국어
equity · US
First Industrial Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of First Industrial Realty Trust, Inc.. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.3%, MDD -71.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.0%, drawdown -96.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.5%, MDD -83.8%, Sharpe 0.36, 92% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 12.5%p (CAGR 6.3%, MDD -71.0%, exposure 82%).
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=30, threshold=-0.11 |
6.5% | -83.8% | 0.36 | 0.08 | 7.7x | 165 | 92% |
| Donchian 채널 돌파 entryN=17, exitN=67 |
6.3% | -71.0% | 0.36 | 0.09 | 7.1x | 87 | 82% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=27, mult=4 |
2.0% | -19.4% | 0.28 | 0.10 | 1.9x | 38 | 9% |
| Supertrend period=8, mult=3.6 |
2.9% | -72.3% | 0.24 | 0.04 | 2.5x | 164 | 56% |
| SMA 크로스오버 fast=6, slow=170 |
2.4% | -50.6% | 0.22 | 0.05 | 2.2x | 111 | 63% |
| MACD fast=19, slow=91, signal=22 |
1.9% | -88.9% | 0.21 | 0.02 | 1.8x | 274 | 53% |
| EMA 크로스오버 fast=11, slow=110 |
2.1% | -66.2% | 0.21 | 0.03 | 2.0x | 133 | 63% |
| 볼린저 밴드 돌파 n=46, k=1.6 |
-0.3% | -79.7% | 0.09 | -0.00 | 0.9x | 200 | 41% |
| ADX / DI 방향성 period=23, threshold=19 |
-0.7% | -68.7% | 0.05 | -0.01 | 0.8x | 162 | 22% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-5.0% | -90.9% | -0.06 | -0.05 | 0.2x | 612 | 54% |
| Buy and hold | 3.0% | -96.2% | 0.27 | 0.03 | 2.6x | 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 30-day return is greater than -11%
- Sell — Sell when the 30-day return drops to -11% or below