Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Boardwalk Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Boardwalk Real Estate Investment Trust. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.9%, MDD -35.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -77.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.9%, MDD -35.8%, Sharpe 0.60, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 41.4%p (CAGR 9.9%, MDD -35.8%, exposure 54%).
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=111, exitN=59 |
9.9% | -35.8% | 0.60 | 0.28 | 17.7x | 42 | 54% |
| ADX / DI 방향성 period=25, threshold=39 |
3.1% | -11.0% | 0.52 | 0.28 | 2.5x | 6 | 3% |
| ROC 모멘텀 n=159, threshold=0 |
8.3% | -60.1% | 0.51 | 0.14 | 11.3x | 160 | 57% |
| 볼린저 밴드 돌파 n=26, k=3.4 |
4.1% | -21.6% | 0.51 | 0.19 | 3.4x | 24 | 6% |
| SMA 크로스오버 fast=9, slow=139 |
8.3% | -54.6% | 0.50 | 0.15 | 11.4x | 82 | 62% |
| EMA 크로스오버 fast=21, slow=99 |
7.8% | -55.2% | 0.48 | 0.14 | 9.8x | 74 | 62% |
| Supertrend period=4, mult=3.8 |
7.4% | -56.7% | 0.46 | 0.13 | 8.8x | 151 | 57% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=11, mult=3.2 |
4.2% | -43.6% | 0.37 | 0.10 | 3.5x | 94 | 24% |
| Parabolic SAR step=0.005, maxStep=0.08 |
2.7% | -79.5% | 0.23 | 0.03 | 2.2x | 234 | 54% |
| MACD fast=19, slow=53, signal=15 |
2.3% | -70.1% | 0.21 | 0.03 | 2.0x | 340 | 51% |
| Buy and hold | 10.5% | -77.2% | 0.49 | 0.14 | 20.8x | 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 111 days
- Sell — Sell when price breaks below the lowest low of the last 59 days