Trend-Following Backtester · Guide · backtest 한국어
equity · CA
First Capital Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of First Capital Real Estate Investment Trust. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.1%, MDD -29.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.5%, drawdown -51.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -29.0%, Sharpe 0.52, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 6.1%, MDD -29.0%, exposure 64%).
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=51, slow=205 |
6.1% | -29.0% | 0.52 | 0.21 | 4.2x | 27 | 64% |
| EMA 크로스오버 fast=92, slow=143 |
4.6% | -38.1% | 0.41 | 0.12 | 2.9x | 25 | 64% |
| Donchian 채널 돌파 entryN=61, exitN=76 |
4.4% | -30.8% | 0.40 | 0.14 | 2.8x | 35 | 65% |
| ROC 모멘텀 n=121, threshold=-0.04 |
4.1% | -45.4% | 0.34 | 0.09 | 2.6x | 125 | 76% |
| ADX / DI 방향성 period=31, threshold=24 |
1.2% | -23.5% | 0.21 | 0.05 | 1.3x | 34 | 13% |
| Supertrend period=24, mult=3.3 |
1.0% | -61.9% | 0.14 | 0.02 | 1.3x | 105 | 63% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=2.3 |
0.6% | -46.2% | 0.11 | 0.01 | 1.1x | 94 | 36% |
| 볼린저 밴드 돌파 n=51, k=2 |
0.0% | -49.5% | 0.05 | 0.00 | 1.0x | 112 | 37% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-4.8% | -84.8% | -0.28 | -0.06 | 0.3x | 322 | 55% |
| MACD fast=12, slow=23, signal=13 |
-5.0% | -82.8% | -0.30 | -0.06 | 0.3x | 426 | 50% |
| Buy and hold | 4.5% | -51.5% | 0.32 | 0.09 | 2.9x | 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 51-day average price crosses above the 205-day average
- Sell — Sell (to cash) when the 51-day average falls below the 205-day average