Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gladstone Commercial Corporation - Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Gladstone Commercial Corporation - Real Estate Investment Trust. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.0%, MDD -6.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.8%, drawdown -73.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.5%, MDD -33.8%, Sharpe 0.23, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR 0.0%, MDD -6.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=184 |
2.5% | -33.8% | 0.23 | 0.08 | 1.8x | 33 | 53% |
| EMA 크로스오버 fast=56, slow=168 |
1.9% | -26.6% | 0.20 | 0.07 | 1.5x | 31 | 51% |
| ROC 모멘텀 Hold-like · Exposure 99% n=2, threshold=-0.07 |
0.1% | -59.0% | 0.15 | 0.00 | 1.0x | 87 | 99% |
| Donchian 채널 돌파 entryN=79, exitN=41 |
0.8% | -34.4% | 0.13 | 0.02 | 1.2x | 40 | 38% |
| Supertrend period=21, mult=5 |
-0.6% | -53.9% | 0.05 | -0.01 | 0.9x | 53 | 47% |
| ADX / DI 방향성 period=20, threshold=33 |
0.1% | -13.4% | 0.05 | 0.01 | 1.0x | 18 | 5% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=9, mult=3.3 |
0.0% | -6.4% | 0.03 | 0.01 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=38, k=3.5 |
-0.1% | -26.1% | -0.01 | -0.00 | 1.0x | 14 | 4% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-2.7% | -64.2% | -0.04 | -0.04 | 0.5x | 181 | 50% |
| MACD fast=15, slow=60, signal=18 |
-9.2% | -92.0% | -0.35 | -0.10 | 0.1x | 281 | 48% |
| Buy and hold | -0.8% | -73.7% | 0.15 | -0.01 | 0.8x | 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 53-day average price crosses above the 184-day average
- Sell — Sell (to cash) when the 53-day average falls below the 184-day average