Trend-Following Backtester · Guide · backtest 한국어
equity · CA
SmartCentres Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of SmartCentres Real Estate Investment Trust. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.3%, MDD -22.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.4%, drawdown -72.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.3%, MDD -22.7%, Sharpe 0.67, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 49.6%p (CAGR 8.3%, MDD -22.7%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=75, slow=139 |
8.3% | -22.7% | 0.67 | 0.37 | 6.2x | 11 | 61% |
| SMA 크로스오버 fast=43, slow=231 |
7.6% | -26.8% | 0.63 | 0.28 | 5.3x | 15 | 60% |
| ROC 모멘텀 n=187, threshold=-0.01 |
6.5% | -28.9% | 0.56 | 0.23 | 4.2x | 67 | 61% |
| Donchian 채널 돌파 entryN=86, exitN=105 |
6.7% | -27.2% | 0.55 | 0.24 | 4.4x | 19 | 64% |
| ADX / DI 방향성 period=24, threshold=23 |
2.4% | -21.1% | 0.39 | 0.11 | 1.7x | 38 | 12% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=22, mult=3.8 |
1.2% | -15.5% | 0.30 | 0.08 | 1.3x | 16 | 6% |
| Supertrend period=17, mult=5 |
2.7% | -42.8% | 0.28 | 0.06 | 1.8x | 63 | 54% |
| 볼린저 밴드 돌파 n=18, k=3.1 |
0.7% | -17.8% | 0.23 | 0.04 | 1.2x | 18 | 4% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.3% | -59.1% | 0.09 | 0.00 | 1.1x | 196 | 55% |
| MACD fast=26, slow=55, signal=22 |
-0.2% | -50.2% | 0.05 | -0.00 | 0.9x | 192 | 51% |
| Buy and hold | 4.4% | -72.3% | 0.31 | 0.06 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 75-day EMA crosses above the 139-day EMA
- Sell — Sell when the 75-day EMA falls below the 139-day EMA