Trend-Following Backtester · Guide · backtest 한국어
equity · US
InvenTrust Properties Corp. backtest
10 trend-following strategies were compared on the full daily history of InvenTrust Properties Corp.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.4%, MDD -74.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR -2.8%, drawdown -97.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 14.4%, MDD -74.5%, Sharpe 0.31, 9% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.2%p higher than buy and hold, while drawdown improves by 23.1%p (CAGR 14.4%, MDD -74.5%, exposure 9%).
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=37, threshold=38 |
14.4% | -74.5% | 0.31 | 0.19 | 5.3x | 12 | 9% |
| Donchian 채널 돌파 entryN=17, exitN=76 |
-10.4% | -98.4% | 0.29 | -0.11 | 0.3x | 33 | 85% |
| ROC 모멘텀 n=22, threshold=0.14 |
5.9% | -82.0% | 0.29 | 0.07 | 2.0x | 44 | 6% |
| MACD fast=9, slow=21, signal=16 |
-14.4% | -99.0% | 0.26 | -0.15 | 0.1x | 168 | 51% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-4.4% | -93.4% | 0.25 | -0.05 | 0.6x | 96 | 53% |
| 볼린저 밴드 돌파 n=9, k=2.5 |
7.3% | -76.8% | 0.25 | 0.10 | 2.4x | 50 | 11% |
| Supertrend period=10, mult=4.4 |
-23.6% | -99.6% | 0.18 | -0.24 | 0.0x | 73 | 56% |
| SMA 크로스오버 fast=16, slow=127 |
-17.5% | -98.4% | 0.09 | -0.18 | 0.1x | 39 | 37% |
| EMA 크로스오버 fast=24, slow=135 |
-25.9% | -99.5% | -0.01 | -0.26 | 0.0x | 27 | 37% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=28, mult=3.5 |
-32.4% | -99.6% | -0.44 | -0.33 | 0.0x | 28 | 24% |
| Buy and hold | -2.8% | -97.6% | 0.34 | -0.03 | 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, 37-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)