Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Colliers International Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Colliers International Group Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.7%, MDD -49.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.4%, drawdown -75.5%).
Sharpe leader (same as main): Supertrend — CAGR 15.7%, MDD -49.6%, Sharpe 0.74, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 25.9%p (CAGR 15.7%, MDD -49.6%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=4.9 |
15.7% | -49.6% | 0.74 | 0.32 | 83.2x | 100 | 62% |
| EMA 크로스오버 fast=12, slow=104 |
14.0% | -45.4% | 0.67 | 0.31 | 53.0x | 92 | 65% |
| Donchian 채널 돌파 entryN=29, exitN=52 |
15.0% | -63.4% | 0.66 | 0.24 | 68.9x | 81 | 72% |
| SMA 크로스오버 fast=59, slow=198 |
13.5% | -59.6% | 0.62 | 0.23 | 46.2x | 40 | 66% |
| ROC 모멘텀 n=159, threshold=0.01 |
12.7% | -55.7% | 0.62 | 0.23 | 37.6x | 142 | 65% |
| Parabolic SAR step=0.005, maxStep=0.14 |
12.3% | -39.5% | 0.61 | 0.31 | 33.7x | 231 | 54% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
10.5% | -40.4% | 0.58 | 0.26 | 20.7x | 253 | 47% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=2.2 |
9.0% | -33.1% | 0.56 | 0.27 | 13.5x | 184 | 36% |
| ADX / DI 방향성 period=35, threshold=4 |
9.2% | -58.5% | 0.49 | 0.16 | 14.4x | 358 | 61% |
| MACD fast=7, slow=55, signal=15 |
7.0% | -69.7% | 0.40 | 0.10 | 7.7x | 477 | 50% |
| Buy and hold | 16.4% | -75.5% | 0.61 | 0.22 | 98.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)