Trend-Following Backtester · Guide · backtest 한국어
equity · US
W. P. Carey Inc. REIT backtest
10 trend-following strategies were compared on the full daily history of W. P. Carey Inc. REIT. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -53.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -7.1%, Sharpe 0.35, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -56.9%, exposure 61%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=22, threshold=47 |
0.8% | -7.1% | 0.35 | 0.11 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=40, slow=159 |
3.8% | -56.9% | 0.30 | 0.07 | 2.9x | 51 | 61% |
| EMA 크로스오버 fast=52, slow=231 |
3.5% | -48.7% | 0.29 | 0.07 | 2.7x | 29 | 60% |
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.12 |
2.7% | -58.2% | 0.23 | 0.05 | 2.1x | 39 | 99% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
0.6% | -22.8% | 0.15 | 0.02 | 1.2x | 10 | 3% |
| Donchian 채널 돌파 entryN=95, exitN=73 |
0.7% | -52.5% | 0.12 | 0.01 | 1.2x | 41 | 56% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=11, mult=4 |
0.3% | -16.3% | 0.10 | 0.02 | 1.1x | 14 | 4% |
| Supertrend period=25, mult=3 |
-3.0% | -70.3% | -0.08 | -0.04 | 0.4x | 181 | 56% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.6% | -85.9% | -0.31 | -0.08 | 0.1x | 496 | 54% |
| MACD fast=18, slow=24, signal=14 |
-6.7% | -88.5% | -0.34 | -0.08 | 0.1x | 435 | 52% |
| Buy and hold | 4.4% | -53.3% | 0.29 | 0.08 | 3.4x | 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, 22-day) is ≥ 47
- Sell — Sell when direction flips or the trend weakens (ADX < 47)