Trend-Following Backtester · Guide · backtest 한국어
equity · US
CTO Realty Growth, Inc. backtest
10 trend-following strategies were compared on the full daily history of CTO Realty Growth, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.8%, MDD -56.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.3%, drawdown -75.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -56.6%, Sharpe 0.39, 54% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 7.8%, MDD -56.6%, exposure 54%).
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=155 |
7.8% | -56.6% | 0.39 | 0.14 | 32.7x | 75 | 54% |
| EMA 크로스오버 fast=56, slow=102 |
4.3% | -80.0% | 0.28 | 0.05 | 7.0x | 81 | 55% |
| Donchian 채널 돌파 entryN=107, exitN=50 |
3.4% | -77.2% | 0.25 | 0.04 | 4.8x | 67 | 39% |
| ADX / DI 방향성 period=37, threshold=33 |
0.8% | -32.8% | 0.13 | 0.02 | 1.4x | 12 | 13% |
| Supertrend period=23, mult=5 |
-4.2% | -96.7% | 0.00 | -0.04 | 0.1x | 201 | 56% |
| 볼린저 밴드 돌파 n=75, k=2.7 |
-2.0% | -85.6% | -0.00 | -0.02 | 0.4x | 104 | 24% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.6% | -95.6% | -0.02 | -0.05 | 0.1x | 329 | 52% |
| ROC 모멘텀 n=138, threshold=0.09 |
-4.4% | -96.1% | -0.02 | -0.05 | 0.1x | 401 | 36% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=14, mult=3.9 |
-5.2% | -95.3% | -0.17 | -0.05 | 0.1x | 141 | 20% |
| MACD fast=25, slow=30, signal=16 |
-14.5% | -99.9% | -0.41 | -0.14 | 0.0x | 582 | 50% |
| Buy and hold | 5.3% | -75.4% | 0.32 | 0.07 | 11.1x | 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 155-day average
- Sell — Sell (to cash) when the 39-day average falls below the 155-day average