Trend-Following Backtester · Guide · backtest 한국어
etf · TH
Prime Office Leasehold Property Fund Units backtest
10 trend-following strategies were compared on the full daily history of Prime Office Leasehold Property Fund Units. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.0%, MDD -39.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR -0.8%, drawdown -71.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.8%, MDD -39.8%, Sharpe 0.37, 49% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 6.0%, MDD -39.8%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=39, slow=94 |
6.8% | -39.8% | 0.37 | 0.17 | 2.8x | 27 | 49% |
| EMA 크로스오버 fast=29, slow=85 |
6.0% | -39.8% | 0.34 | 0.15 | 2.5x | 21 | 48% |
| Donchian 채널 돌파 entryN=86, exitN=37 |
-0.9% | -58.9% | 0.09 | -0.01 | 0.9x | 23 | 35% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=8, mult=3.6 |
-1.9% | -57.8% | 0.02 | -0.03 | 0.7x | 29 | 25% |
| MACD fast=31, slow=72, signal=40 |
-2.5% | -64.1% | 0.02 | -0.04 | 0.7x | 78 | 54% |
| 볼린저 밴드 돌파 n=62, k=1.7 |
-2.8% | -60.4% | -0.03 | -0.05 | 0.6x | 59 | 32% |
| ADX / DI 방향성 period=25, threshold=21 |
-3.1% | -55.8% | -0.05 | -0.06 | 0.6x | 75 | 19% |
| Supertrend period=5, mult=5 |
-3.9% | -68.4% | -0.06 | -0.06 | 0.5x | 51 | 47% |
| ROC 모멘텀 n=128, threshold=0.1 |
-6.4% | -77.8% | -0.18 | -0.08 | 0.4x | 91 | 22% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-11.5% | -89.1% | -0.37 | -0.13 | 0.2x | 81 | 50% |
| Buy and hold | -0.8% | -71.4% | 0.18 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 39-day average price crosses above the 94-day average
- Sell — Sell (to cash) when the 39-day average falls below the 94-day average