Trend-Following Backtester · Guide · backtest 한국어
etf · CH
Schroder ImmoPLUS Units backtest
10 trend-following strategies were compared on the full daily history of Schroder ImmoPLUS Units. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.1%, drawdown -32.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -6.2%, Sharpe 0.23, 6% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.3%, MDD -26.8%, exposure 63%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=3.5 |
0.4% | -6.2% | 0.23 | 0.07 | 1.1x | 6 | 6% |
| EMA 크로스오버 fast=51, slow=215 |
2.3% | -26.8% | 0.22 | 0.09 | 1.5x | 13 | 63% |
| SMA 크로스오버 fast=49, slow=187 |
1.7% | -28.9% | 0.18 | 0.06 | 1.4x | 22 | 59% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=19, mult=3.8 |
0.2% | -3.5% | 0.14 | 0.06 | 1.0x | 6 | 6% |
| ADX / DI 방향성 period=29, threshold=27 |
0.1% | -7.0% | 0.05 | 0.01 | 1.0x | 16 | 6% |
| Donchian 채널 돌파 entryN=66, exitN=52 |
-0.9% | -31.0% | -0.02 | -0.03 | 0.9x | 32 | 55% |
| ROC 모멘텀 n=23, threshold=0.13 |
-0.2% | -3.7% | -0.20 | -0.05 | 1.0x | 12 | 0% |
| Supertrend period=27, mult=4.1 |
-3.7% | -57.6% | -0.23 | -0.06 | 0.5x | 73 | 71% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-8.9% | -85.0% | -0.67 | -0.11 | 0.2x | 145 | 62% |
| MACD fast=23, slow=40, signal=29 |
-12.4% | -91.4% | -1.12 | -0.14 | 0.1x | 238 | 50% |
| Buy and hold | 3.1% | -32.6% | 0.25 | 0.09 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 31-day middle average