Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Crombie Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Crombie Real Estate Investment Trust. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 3.3%, MDD -26.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.3%, drawdown -62.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.8%, MDD -28.0%, Sharpe 0.37, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 3.3%, MDD -26.7%, exposure 61%).
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=98 |
3.8% | -28.0% | 0.37 | 0.14 | 2.2x | 49 | 58% |
| Supertrend period=25, mult=5 |
3.3% | -26.7% | 0.32 | 0.12 | 1.9x | 39 | 61% |
| EMA 크로스오버 fast=34, slow=51 |
2.7% | -39.8% | 0.28 | 0.07 | 1.7x | 61 | 58% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.08 |
3.5% | -50.4% | 0.27 | 0.07 | 2.0x | 27 | 99% |
| Donchian 채널 돌파 entryN=53, exitN=61 |
2.6% | -37.8% | 0.27 | 0.07 | 1.7x | 39 | 59% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=26, mult=3.1 |
1.8% | -15.7% | 0.26 | 0.11 | 1.4x | 39 | 25% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
1.0% | -12.8% | 0.22 | 0.08 | 1.2x | 20 | 11% |
| ADX / DI 방향성 period=31, threshold=21 |
0.9% | -21.0% | 0.19 | 0.04 | 1.2x | 30 | 10% |
| MACD fast=39, slow=117, signal=40 |
-0.3% | -46.9% | 0.04 | -0.01 | 0.9x | 99 | 50% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-3.7% | -66.7% | -0.21 | -0.05 | 0.5x | 170 | 56% |
| Buy and hold | 2.3% | -62.3% | 0.21 | 0.04 | 1.6x | 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 98-day average
- Sell — Sell (to cash) when the 38-day average falls below the 98-day average