Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Link Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Link Real Estate Investment Trust. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.0%, MDD -20.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.7%, drawdown -69.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -20.2%, Sharpe 0.54, 43% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.3%, MDD -48.0%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 6.0%, MDD -20.2%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=143, exitN=63 |
6.0% | -20.2% | 0.54 | 0.30 | 3.0x | 18 | 43% |
| SMA 크로스오버 fast=52, slow=177 |
6.3% | -48.0% | 0.49 | 0.13 | 3.1x | 23 | 57% |
| EMA 크로스오버 fast=26, slow=215 |
4.9% | -52.9% | 0.40 | 0.09 | 2.5x | 27 | 58% |
| ROC 모멘텀 n=147, threshold=0.01 |
4.5% | -44.3% | 0.38 | 0.10 | 2.3x | 99 | 57% |
| Supertrend period=23, mult=4.4 |
5.0% | -37.8% | 0.37 | 0.13 | 2.5x | 57 | 62% |
| 볼린저 밴드 돌파 n=52, k=3 |
2.3% | -15.1% | 0.31 | 0.15 | 1.5x | 28 | 18% |
| ADX / DI 방향성 period=32, threshold=33 |
0.6% | -9.4% | 0.22 | 0.07 | 1.1x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=1.4 |
1.8% | -37.3% | 0.20 | 0.05 | 1.4x | 111 | 47% |
| Parabolic SAR step=0.01, maxStep=0.32 |
1.0% | -47.3% | 0.15 | 0.02 | 1.2x | 229 | 54% |
| MACD fast=20, slow=37, signal=10 |
-2.1% | -62.4% | -0.05 | -0.03 | 0.7x | 255 | 51% |
| Buy and hold | 4.7% | -69.0% | 0.32 | 0.07 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 143 days
- Sell — Sell when price breaks below the lowest low of the last 63 days