Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Granite Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Granite Real Estate Investment Trust. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.0%, MDD -12.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.5%, drawdown -88.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -45.1%, Sharpe 0.44, 62% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 4.0%, MDD -12.9%, exposure 3%).
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=48, slow=225 |
6.8% | -45.1% | 0.44 | 0.15 | 4.2x | 27 | 62% |
| Donchian 채널 돌파 entryN=115, exitN=76 |
5.8% | -27.8% | 0.42 | 0.21 | 3.4x | 26 | 51% |
| EMA 크로스오버 fast=100, slow=147 |
6.3% | -45.1% | 0.41 | 0.14 | 3.8x | 21 | 66% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=12, mult=3.5 |
4.0% | -12.9% | 0.39 | 0.31 | 2.3x | 8 | 3% |
| Supertrend period=18, mult=2.9 |
4.6% | -44.1% | 0.32 | 0.11 | 2.7x | 152 | 56% |
| 볼린저 밴드 돌파 n=20, k=3.2 |
3.1% | -15.7% | 0.31 | 0.20 | 1.9x | 14 | 3% |
| ROC 모멘텀 n=86, threshold=-0.07 |
3.9% | -46.6% | 0.29 | 0.08 | 2.3x | 127 | 78% |
| ADX / DI 방향성 period=36, threshold=24 |
2.1% | -23.7% | 0.22 | 0.09 | 1.6x | 26 | 8% |
| MACD fast=25, slow=66, signal=30 |
1.5% | -63.0% | 0.17 | 0.02 | 1.4x | 144 | 48% |
| Parabolic SAR step=0.01, maxStep=0.38 |
0.5% | -61.7% | 0.12 | 0.01 | 1.1x | 310 | 51% |
| Buy and hold | 4.5% | -88.5% | 0.29 | 0.05 | 2.6x | 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 48-day average price crosses above the 225-day average
- Sell — Sell (to cash) when the 48-day average falls below the 225-day average