Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chatham Lodging Trust (REIT) backtest
10 trend-following strategies were compared on the full daily history of Chatham Lodging Trust (REIT). 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.2%, MDD -6.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.6%, drawdown -88.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.7%, MDD -22.7%, Sharpe 0.59, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.7%, MDD -53.1%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 65.4%p (CAGR 2.2%, MDD -6.7%, exposure 2%).
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=55, k=3.4 |
4.7% | -22.7% | 0.59 | 0.21 | 2.1x | 5 | 6% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=29, mult=3.9 |
2.2% | -6.7% | 0.58 | 0.33 | 1.4x | 4 | 2% |
| SMA 크로스오버 fast=51, slow=96 |
8.7% | -53.1% | 0.49 | 0.16 | 3.9x | 39 | 52% |
| ADX / DI 방향성 period=32, threshold=26 |
1.5% | -9.7% | 0.42 | 0.16 | 1.3x | 9 | 3% |
| EMA 크로스오버 fast=28, slow=92 |
5.3% | -51.7% | 0.35 | 0.10 | 2.3x | 35 | 49% |
| Donchian 채널 돌파 entryN=30, exitN=73 |
4.2% | -67.4% | 0.28 | 0.06 | 1.9x | 33 | 69% |
| ROC 모멘텀 n=137, threshold=0.07 |
3.5% | -53.5% | 0.28 | 0.07 | 1.8x | 133 | 34% |
| Supertrend period=23, mult=3.7 |
0.6% | -68.8% | 0.15 | 0.01 | 1.1x | 69 | 54% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-0.0% | -47.5% | 0.11 | -0.00 | 1.0x | 269 | 51% |
| MACD fast=15, slow=76, signal=14 |
-1.9% | -67.6% | 0.05 | -0.03 | 0.7x | 188 | 52% |
| Buy and hold | -2.6% | -88.1% | 0.12 | -0.03 | 0.6x | 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 55-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 55-day middle average