Trend-Following Backtester · Guide · backtest 한국어
equity · US
Real REMAX Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Real REMAX Group Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.7%, MDD -28.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.9%, drawdown -76.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 43.6%, MDD -57.8%, Sharpe 1.08, 22% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 30.7%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 17.7%, MDD -28.7%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=8, k=1.8 |
43.6% | -57.8% | 1.08 | 0.75 | 7.5x | 82 | 22% |
| Supertrend period=11, mult=1.5 |
42.7% | -55.0% | 0.97 | 0.78 | 7.2x | 64 | 39% |
| Parabolic SAR step=0.01, maxStep=0.08 |
39.5% | -41.6% | 0.91 | 0.95 | 6.4x | 70 | 44% |
| ROC 모멘텀 n=9, threshold=0.05 |
35.0% | -42.0% | 0.89 | 0.83 | 5.3x | 160 | 28% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=2.4 |
18.0% | -33.7% | 0.66 | 0.54 | 2.5x | 14 | 20% |
| SMA 크로스오버 fast=12, slow=162 |
20.2% | -48.4% | 0.66 | 0.42 | 2.8x | 10 | 32% |
| Donchian 채널 돌파 entryN=136, exitN=34 |
17.7% | -28.7% | 0.66 | 0.62 | 2.5x | 6 | 21% |
| EMA 크로스오버 fast=14, slow=153 |
19.8% | -52.1% | 0.65 | 0.38 | 2.7x | 10 | 36% |
| ADX / DI 방향성 period=13, threshold=19 |
20.2% | -41.2% | 0.65 | 0.49 | 2.8x | 72 | 33% |
| MACD fast=5, slow=52, signal=20 |
8.5% | -62.2% | 0.40 | 0.14 | 1.6x | 98 | 45% |
| Buy and hold | 12.9% | -76.1% | 0.51 | 0.17 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 8-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 8-day middle average