Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Charter Hall Retail REIT backtest
10 trend-following strategies were compared on the full daily history of Charter Hall Retail REIT. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -11.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.8%, drawdown -95.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.8%, MDD -44.1%, Sharpe 0.13, 62% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 0.1%, MDD -11.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=63, exitN=79 |
0.8% | -44.1% | 0.13 | 0.02 | 1.3x | 54 | 62% |
| ROC 모멘텀 n=8, threshold=0.14 |
0.7% | -41.3% | 0.12 | 0.02 | 1.2x | 52 | 1% |
| SMA 크로스오버 fast=57, slow=105 |
0.5% | -56.7% | 0.12 | 0.01 | 1.2x | 73 | 57% |
| ADX / DI 방향성 period=38, threshold=15 |
0.6% | -50.0% | 0.11 | 0.01 | 1.2x | 100 | 18% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
0.1% | -11.9% | 0.05 | 0.01 | 1.0x | 16 | 4% |
| Supertrend period=14, mult=3.8 |
-0.9% | -62.4% | 0.05 | -0.01 | 0.8x | 120 | 57% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=4 |
0.0% | -11.9% | 0.03 | 0.00 | 1.0x | 14 | 4% |
| MACD fast=19, slow=88, signal=26 |
-3.4% | -83.6% | -0.04 | -0.04 | 0.4x | 268 | 51% |
| EMA 크로스오버 fast=85, slow=127 |
-2.2% | -72.3% | -0.05 | -0.03 | 0.5x | 44 | 59% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-5.8% | -85.3% | -0.19 | -0.07 | 0.2x | 356 | 54% |
| Buy and hold | -1.8% | -95.6% | 0.10 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 63 days
- Sell — Sell when price breaks below the lowest low of the last 79 days