Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Cibus Real Estate AB (publ) backtest
10 trend-following strategies were compared on the full daily history of Cibus Real Estate AB (publ). 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.1%, MDD -10.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.2%, drawdown -66.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.2%, MDD -16.4%, Sharpe 0.80, 33% exposure.
CAGR reference leader: MACD — CAGR 10.9%, MDD -40.4%, exposure 49%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 6.1%, MDD -10.5%, exposure 21%).
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=50, atrPeriod=18, mult=3.1 |
9.2% | -16.4% | 0.80 | 0.56 | 2.1x | 18 | 33% |
| MACD fast=19, slow=35, signal=19 |
10.9% | -40.4% | 0.67 | 0.27 | 2.4x | 78 | 49% |
| Donchian 채널 돌파 entryN=109, exitN=8 |
6.1% | -10.5% | 0.66 | 0.58 | 1.6x | 26 | 21% |
| EMA 크로스오버 fast=5, slow=206 |
10.3% | -27.0% | 0.65 | 0.38 | 2.3x | 12 | 55% |
| 볼린저 밴드 돌파 n=60, k=2.2 |
7.0% | -23.0% | 0.61 | 0.30 | 1.8x | 18 | 34% |
| ADX / DI 방향성 period=15, threshold=27 |
6.4% | -19.1% | 0.59 | 0.34 | 1.7x | 54 | 24% |
| SMA 크로스오버 fast=8, slow=206 |
9.1% | -30.2% | 0.58 | 0.30 | 2.1x | 16 | 54% |
| Supertrend period=8, mult=1.9 |
8.6% | -38.5% | 0.56 | 0.22 | 2.0x | 80 | 55% |
| ROC 모멘텀 n=124, threshold=0.03 |
6.4% | -39.3% | 0.45 | 0.16 | 1.7x | 42 | 52% |
| Parabolic SAR step=0.005, maxStep=0.16 |
4.4% | -44.3% | 0.33 | 0.10 | 1.4x | 68 | 55% |
| Buy and hold | 4.2% | -66.9% | 0.29 | 0.06 | 1.4x | 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 50-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 50-day average