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 6.5%, MDD -71.0%).

Data 1994-06-24 ~ 2026-07-31daily bars 8,079 (32.1 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 3.2%, drawdown -96.2%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.8%, MDD -83.8%, Sharpe 0.37, 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 6.5%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=30, threshold=-0.11
6.8%-83.8%0.370.088.2x16592%
Donchian 채널 돌파
entryN=17, exitN=67
6.5%-71.0%0.360.097.5x8782%
Keltner 채널 돌파
emaPeriod=34, atrPeriod=27, mult=4
2.0%-19.4%0.280.101.9x389%
Supertrend
period=8, mult=3.6
3.0%-72.3%0.240.042.6x16356%
SMA 크로스오버
fast=6, slow=170
2.7%-50.6%0.230.052.3x11163%
EMA 크로스오버
fast=11, slow=110
2.3%-66.2%0.220.042.1x13363%
MACD
fast=19, slow=91, signal=22
2.0%-88.9%0.210.021.9x27353%
볼린저 밴드 돌파
n=46, k=1.6
-0.2%-79.7%0.10-0.001.0x19942%
ADX / DI 방향성
period=23, threshold=19
-0.7%-68.7%0.05-0.010.8x16222%
Parabolic SAR
step=0.015, maxStep=0.34
-4.9%-90.9%-0.05-0.050.2x61054%
Buy and hold3.2%-96.2%0.280.032.8x1100%
0.1 1x 1995 1999 2003 2007 2011 2015 2019 2023 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 1995 1999 2003 2007 2011 2015 2019 2023 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -83.8% (2006-11-21 → 2009-04-08), recovered after 1,563 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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