Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Choice Properties Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Choice Properties Real Estate Investment Trust. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.5%, drawdown -29.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.9%, MDD -8.0%, Sharpe 0.30, 5% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.1%, MDD -13.1%, exposure 10%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=9, mult=3.3 |
0.9% | -8.0% | 0.30 | 0.11 | 1.1x | 8 | 5% |
| 볼린저 밴드 돌파 n=51, k=3 |
1.1% | -13.1% | 0.27 | 0.08 | 1.2x | 10 | 10% |
| ROC 모멘텀 n=17, threshold=0.21 |
0.0% | -0.5% | 0.14 | 0.09 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=13, exitN=46 |
0.6% | -39.7% | 0.11 | 0.02 | 1.1x | 45 | 78% |
| EMA 크로스오버 fast=39, slow=242 |
-0.6% | -38.1% | 0.01 | -0.02 | 0.9x | 19 | 61% |
| ADX / DI 방향성 period=11, threshold=43 |
-0.1% | -10.7% | -0.01 | -0.01 | 1.0x | 28 | 5% |
| Supertrend period=14, mult=4.6 |
-1.3% | -36.8% | -0.07 | -0.04 | 0.8x | 39 | 54% |
| SMA 크로스오버 fast=28, slow=106 |
-1.6% | -37.5% | -0.08 | -0.04 | 0.8x | 39 | 57% |
| MACD fast=39, slow=54, signal=15 |
-2.4% | -44.6% | -0.17 | -0.05 | 0.7x | 108 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-5.9% | -56.9% | -0.48 | -0.10 | 0.5x | 121 | 54% |
| Buy and hold | 3.5% | -29.1% | 0.29 | 0.12 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 25-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average