Trend-Following Backtester · Guide · backtest 한국어
equity · US
NetSTREIT Corp. backtest
10 trend-following strategies were compared on the full daily history of NetSTREIT Corp.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.8%, MDD -5.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.1%, drawdown -48.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.8%, MDD -5.3%, Sharpe 0.71, 7% exposure.
CAGR reference leader: Supertrend — CAGR 5.8%, MDD -24.7%, exposure 44%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 3.8%, MDD -5.3%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=33, k=3.4 |
3.8% | -5.3% | 0.71 | 0.71 | 1.2x | 2 | 7% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=2.9 |
4.2% | -12.7% | 0.55 | 0.33 | 1.3x | 10 | 15% |
| Donchian 채널 돌파 entryN=118, exitN=51 |
4.4% | -16.9% | 0.48 | 0.26 | 1.3x | 5 | 24% |
| ROC 모멘텀 n=116, threshold=0.08 |
4.8% | -18.9% | 0.47 | 0.25 | 1.3x | 13 | 28% |
| EMA 크로스오버 fast=59, slow=161 |
5.3% | -31.5% | 0.44 | 0.17 | 1.4x | 5 | 40% |
| Supertrend period=20, mult=4.8 |
5.8% | -24.7% | 0.43 | 0.24 | 1.4x | 11 | 44% |
| SMA 크로스오버 fast=35, slow=118 |
2.8% | -35.3% | 0.26 | 0.08 | 1.2x | 11 | 39% |
| ADX / DI 방향성 period=37, threshold=12 |
0.5% | -19.9% | 0.10 | 0.03 | 1.0x | 26 | 20% |
| MACD fast=9, slow=26, signal=19 |
-2.1% | -40.6% | -0.04 | -0.05 | 0.9x | 94 | 49% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.7% | -43.7% | -0.07 | -0.06 | 0.8x | 57 | 56% |
| Buy and hold | 3.1% | -48.8% | 0.25 | 0.06 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 33-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 33-day middle average