Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Canadian Apartment Properties Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Canadian Apartment Properties Real Estate Investment Trust. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.3%, drawdown -46.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -44.1%, Sharpe 0.31, 64% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=151 |
3.5% | -44.1% | 0.31 | 0.08 | 2.6x | 42 | 64% |
| EMA 크로스오버 fast=25, slow=147 |
3.4% | -40.0% | 0.31 | 0.09 | 2.5x | 42 | 65% |
| Donchian 채널 돌파 entryN=75, exitN=86 |
2.8% | -39.2% | 0.26 | 0.07 | 2.1x | 38 | 67% |
| ROC 모멘텀 n=147, threshold=0.01 |
1.6% | -41.3% | 0.18 | 0.04 | 1.5x | 188 | 62% |
| Supertrend period=13, mult=5 |
0.7% | -49.1% | 0.12 | 0.01 | 1.2x | 68 | 61% |
| ADX / DI 방향성 period=27, threshold=38 |
0.0% | -4.1% | 0.06 | 0.01 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=20, mult=4 |
0.0% | -5.6% | 0.03 | 0.01 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
-0.2% | -13.2% | -0.03 | -0.02 | 0.9x | 18 | 6% |
| MACD fast=19, slow=74, signal=32 |
-3.6% | -68.6% | -0.19 | -0.05 | 0.4x | 239 | 50% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-9.2% | -92.6% | -0.58 | -0.10 | 0.1x | 492 | 53% |
| Buy and hold | 4.3% | -46.9% | 0.30 | 0.09 | 3.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 38-day average price crosses above the 151-day average
- Sell — Sell (to cash) when the 38-day average falls below the 151-day average