Trend-Following Backtester · Guide · backtest 한국어
etf · BR
TRX Real Estate Fundo Investimento Imobiliario backtest
10 trend-following strategies were compared on the full daily history of TRX Real Estate Fundo Investimento Imobiliario. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.1%, MDD -4.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.8%, drawdown -31.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -6.3%, Sharpe 0.60, 13% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 25.0%p (CAGR 1.1%, MDD -4.3%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=17, k=2.8 |
2.5% | -6.3% | 0.60 | 0.41 | 1.2x | 20 | 13% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=3.7 |
1.1% | -4.3% | 0.51 | 0.26 | 1.1x | 4 | 4% |
| ADX / DI 방향성 period=27, threshold=29 |
1.2% | -7.0% | 0.33 | 0.17 | 1.1x | 16 | 9% |
| Donchian 채널 돌파 entryN=27, exitN=21 |
1.1% | -12.8% | 0.20 | 0.08 | 1.1x | 17 | 42% |
| SMA 크로스오버 fast=26, slow=49 |
0.4% | -13.1% | 0.09 | 0.03 | 1.0x | 30 | 39% |
| EMA 크로스오버 fast=24, slow=242 |
0.1% | -11.5% | 0.04 | 0.01 | 1.0x | 6 | 31% |
| ROC 모멘텀 n=45, threshold=0.02 |
0.0% | -14.1% | 0.03 | 0.00 | 1.0x | 44 | 24% |
| Supertrend period=6, mult=2.8 |
-0.4% | -15.8% | -0.01 | -0.03 | 1.0x | 27 | 44% |
| MACD fast=31, slow=55, signal=19 |
-0.5% | -22.2% | -0.03 | -0.02 | 1.0x | 37 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.7% | -24.9% | -0.17 | -0.07 | 0.9x | 40 | 46% |
| Buy and hold | -3.8% | -31.3% | -0.20 | -0.12 | 0.8x | 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 17-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 17-day middle average