Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Schroder Real Estate Investment Trust Ltd backtest
10 trend-following strategies were compared on the full daily history of Schroder Real Estate Investment Trust Ltd. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.3%, MDD -18.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.7%, drawdown -91.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.3%, MDD -18.2%, Sharpe 0.35, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -24.7%, exposure 50%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 73.0%p (CAGR 2.3%, MDD -18.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=28, threshold=0.27 |
2.3% | -18.2% | 0.35 | 0.13 | 1.7x | 12 | 1% |
| SMA 크로스오버 fast=48, slow=208 |
4.0% | -24.7% | 0.32 | 0.16 | 2.4x | 30 | 50% |
| EMA 크로스오버 fast=74, slow=115 |
2.4% | -32.3% | 0.22 | 0.07 | 1.7x | 32 | 52% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=14, mult=3.5 |
1.2% | -19.3% | 0.21 | 0.06 | 1.3x | 10 | 2% |
| ADX / DI 방향성 period=32, threshold=22 |
1.6% | -19.4% | 0.21 | 0.08 | 1.4x | 42 | 11% |
| Supertrend period=24, mult=4.1 |
1.8% | -49.3% | 0.19 | 0.04 | 1.5x | 48 | 54% |
| 볼린저 밴드 돌파 n=60, k=2.1 |
1.3% | -33.8% | 0.16 | 0.04 | 1.3x | 60 | 27% |
| Donchian 채널 돌파 entryN=58, exitN=28 |
0.2% | -45.7% | 0.09 | 0.00 | 1.0x | 60 | 36% |
| MACD fast=9, slow=44, signal=18 |
-8.5% | -92.1% | -0.31 | -0.09 | 0.1x | 346 | 49% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-8.2% | -87.9% | -0.34 | -0.09 | 0.2x | 291 | 52% |
| Buy and hold | -3.7% | -91.3% | 0.04 | -0.04 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 28-day return is greater than 27%
- Sell — Sell when the 28-day return drops to 27% or below