Trend-Following Backtester · Guide · backtest 한국어
etf · BR
Patria Properties backtest
10 trend-following strategies were compared on the full daily history of Patria Properties. 10 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 1.4%, MDD -14.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.8%, drawdown -62.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -14.5%, Sharpe 0.21, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.1%, MDD -32.4%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.3%p higher than buy and hold, while drawdown improves by 48.4%p (CAGR 1.4%, MDD -14.5%, exposure 5%).
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=3.5 |
1.4% | -14.5% | 0.21 | 0.10 | 1.1x | 6 | 5% |
| Donchian 채널 돌파 entryN=23, exitN=52 |
2.1% | -32.4% | 0.20 | 0.06 | 1.2x | 20 | 57% |
| SMA 크로스오버 fast=41, slow=54 |
1.6% | -21.8% | 0.18 | 0.07 | 1.1x | 48 | 43% |
| ADX / DI 방향성 period=27, threshold=19 |
-0.3% | -25.6% | 0.03 | -0.01 | 1.0x | 28 | 19% |
| EMA 크로스오버 fast=39, slow=100 |
-1.9% | -26.9% | -0.05 | -0.07 | 0.9x | 12 | 43% |
| Supertrend period=29, mult=3.9 |
-2.7% | -49.0% | -0.08 | -0.05 | 0.8x | 34 | 46% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-4.7% | -40.8% | -0.23 | -0.12 | 0.7x | 58 | 42% |
| MACD fast=15, slow=48, signal=10 |
-6.3% | -49.3% | -0.30 | -0.13 | 0.6x | 109 | 45% |
| ROC 모멘텀 n=111, threshold=-0.02 |
-6.2% | -53.9% | -0.30 | -0.12 | 0.6x | 64 | 44% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=29, mult=4 |
-3.7% | -38.4% | -0.33 | -0.10 | 0.7x | 12 | 7% |
| Buy and hold | -6.8% | -62.9% | -0.14 | -0.11 | 0.6x | 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 (3.5× volatility)
- Sell — Sell when the close falls back to the 33-day middle average