Trend-Following Backtester · Guide · backtest 한국어
equity · CA
H&R Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of H&R Real Estate Investment Trust. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -28.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.0%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -37.3%, Sharpe 0.36, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 45.9%p (CAGR 0.1%, MDD -28.0%, exposure 9%).
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=57, slow=96 |
4.2% | -37.3% | 0.36 | 0.11 | 3.1x | 85 | 56% |
| Donchian 채널 돌파 entryN=68, exitN=53 |
3.6% | -29.9% | 0.34 | 0.12 | 2.6x | 42 | 51% |
| EMA 크로스오버 fast=32, slow=163 |
2.5% | -40.3% | 0.25 | 0.06 | 2.0x | 44 | 58% |
| ROC 모멘텀 n=21, threshold=-0.08 |
2.6% | -49.9% | 0.23 | 0.05 | 2.0x | 148 | 93% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=2.5 |
1.1% | -31.5% | 0.16 | 0.03 | 1.3x | 96 | 32% |
| MACD fast=24, slow=46, signal=26 |
1.0% | -53.0% | 0.14 | 0.02 | 1.3x | 220 | 50% |
| Supertrend period=29, mult=4.8 |
0.6% | -54.6% | 0.11 | 0.01 | 1.2x | 84 | 57% |
| ADX / DI 방향성 period=20, threshold=27 |
0.1% | -28.0% | 0.05 | 0.00 | 1.0x | 68 | 9% |
| 볼린저 밴드 돌파 n=49, k=1.8 |
-0.3% | -60.1% | 0.04 | -0.00 | 0.9x | 134 | 34% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-2.6% | -74.1% | -0.08 | -0.04 | 0.5x | 358 | 56% |
| Buy and hold | 0.0% | -83.2% | 0.13 | 0.00 | 1.0x | 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 57-day average price crosses above the 96-day average
- Sell — Sell (to cash) when the 57-day average falls below the 96-day average