Trend-Following Backtester · Guide · backtest 한국어
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SMAM REIT Index ETF backtest
10 trend-following strategies were compared on the full daily history of SMAM REIT Index ETF. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.3%, MDD -0.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.0%, drawdown -48.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.9%, MDD -13.4%, Sharpe 0.42, 24% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.6%, MDD -14.9%, exposure 51%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 0.3%, MDD -0.5%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=23, mult=4 |
1.9% | -13.4% | 0.42 | 0.14 | 1.2x | 18 | 24% |
| SMA 크로스오버 fast=58, slow=138 |
3.6% | -14.9% | 0.40 | 0.24 | 1.5x | 18 | 51% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
0.7% | -6.1% | 0.38 | 0.11 | 1.1x | 2 | 4% |
| ROC 모멘텀 n=19, threshold=0.12 |
0.3% | -0.5% | 0.36 | 0.51 | 1.0x | 6 | 0% |
| Donchian 채널 돌파 entryN=108, exitN=37 |
1.9% | -19.0% | 0.29 | 0.10 | 1.2x | 16 | 36% |
| ADX / DI 방향성 period=39, threshold=30 |
0.4% | -4.8% | 0.22 | 0.08 | 1.0x | 4 | 3% |
| EMA 크로스오버 fast=34, slow=63 |
0.4% | -28.9% | 0.09 | 0.01 | 1.0x | 30 | 51% |
| Supertrend period=27, mult=3.5 |
-3.6% | -38.3% | -0.24 | -0.09 | 0.7x | 80 | 58% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-5.4% | -53.0% | -0.39 | -0.10 | 0.5x | 132 | 58% |
| MACD fast=21, slow=31, signal=18 |
-7.5% | -60.7% | -0.69 | -0.12 | 0.4x | 138 | 50% |
| Buy and hold | -0.0% | -48.7% | 0.10 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 72-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 72-day average