Trend-Following Backtester · Guide · backtest 한국어

equity · US

Innovative Industrial Properties, Inc. backtest

10 trend-following strategies were compared on the full daily history of Innovative Industrial Properties, Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.8%, MDD -34.7%).

Data 2016-12-01 ~ 2026-07-31daily bars 2,428 (9.7 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 12.3%, drawdown -84.4%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.9%, MDD -39.5%, Sharpe 0.98, 52% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.7%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 17.8%, MDD -34.7%, exposure 42%).

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=141, threshold=0.05
30.9%-39.5%0.980.7813.5x3152%
Supertrend
period=19, mult=4.6
25.3%-47.7%0.840.538.8x2558%
EMA 크로스오버
fast=13, slow=164
25.2%-56.7%0.830.448.8x1353%
SMA 크로스오버
fast=48, slow=174
24.4%-51.6%0.810.478.2x955%
Donchian 채널 돌파
entryN=60, exitN=54
24.3%-56.3%0.800.438.2x1356%
Keltner 채널 돌파
emaPeriod=56, atrPeriod=15, mult=1.2
20.9%-42.6%0.750.496.2x5149%
Parabolic SAR
step=0.01, maxStep=0.28
20.7%-49.2%0.740.426.2x11051%
볼린저 밴드 돌파
n=37, k=1.5
17.8%-34.7%0.690.514.9x6442%
ADX / DI 방향성
period=35, threshold=12
15.2%-50.7%0.630.303.9x5642%
MACD
fast=24, slow=39, signal=19
11.2%-62.6%0.490.182.8x8453%
Buy and hold12.3%-84.4%0.490.153.1x1100%
1x 10x 2017 2019 2021 2023 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 2017 2019 2021 2023 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -39.5% (2019-07-11 → 2019-09-06), recovered after 414 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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