Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Killam Apartment REIT backtest
10 trend-following strategies were compared on the full daily history of Killam Apartment REIT. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.4%, MDD -50.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.8%, drawdown -69.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.4%, MDD -50.3%, Sharpe 0.46, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 19.3%p (CAGR 10.4%, MDD -50.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=33, slow=216 |
10.4% | -50.3% | 0.46 | 0.21 | 12.6x | 33 | 60% |
| SMA 크로스오버 fast=37, slow=178 |
9.6% | -50.0% | 0.44 | 0.19 | 10.6x | 45 | 59% |
| ADX / DI 방향성 period=13, threshold=47 |
5.0% | -33.3% | 0.37 | 0.15 | 3.5x | 14 | 15% |
| Supertrend period=12, mult=5 |
6.2% | -66.0% | 0.35 | 0.09 | 4.7x | 61 | 66% |
| ROC 모멘텀 n=144, threshold=-0.01 |
3.5% | -65.9% | 0.27 | 0.05 | 2.4x | 223 | 64% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
3.4% | -44.8% | 0.26 | 0.08 | 2.4x | 90 | 32% |
| Donchian 채널 돌파 entryN=84, exitN=30 |
3.3% | -40.6% | 0.25 | 0.08 | 2.3x | 49 | 33% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=2.5 |
1.6% | -38.5% | 0.18 | 0.04 | 1.5x | 78 | 29% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.1% | -79.2% | 0.07 | -0.03 | 0.6x | 310 | 52% |
| MACD fast=14, slow=53, signal=17 |
-1.8% | -74.1% | 0.05 | -0.02 | 0.6x | 314 | 49% |
| Buy and hold | 12.8% | -69.6% | 0.49 | 0.18 | 22.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 216-day EMA
- Sell — Sell when the 33-day EMA falls below the 216-day EMA