Trend-Following Backtester · Guide · backtest 한국어
etf · US
CBRE Global Real Estate Income Fund backtest
10 trend-following strategies were compared on the full daily history of CBRE Global Real Estate Income Fund. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -5.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.1%, drawdown -90.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.4%, MDD -50.9%, Sharpe 0.33, 64% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 0.7%, MDD -5.6%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=26 |
4.4% | -50.9% | 0.33 | 0.09 | 2.6x | 101 | 64% |
| 볼린저 밴드 돌파 n=30, k=3.4 |
0.7% | -5.6% | 0.26 | 0.12 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=33, slow=204 |
2.3% | -50.9% | 0.23 | 0.05 | 1.7x | 26 | 50% |
| Supertrend period=15, mult=4.9 |
1.9% | -49.6% | 0.20 | 0.04 | 1.5x | 69 | 54% |
| ROC 모멘텀 n=150, threshold=0.03 |
1.7% | -47.5% | 0.19 | 0.04 | 1.5x | 145 | 46% |
| EMA 크로스오버 fast=12, slow=45 |
1.3% | -50.8% | 0.16 | 0.03 | 1.3x | 119 | 56% |
| Parabolic SAR step=0.015, maxStep=0.02 |
0.1% | -50.6% | 0.09 | 0.00 | 1.0x | 125 | 57% |
| ADX / DI 방향성 period=33, threshold=17 |
-0.2% | -28.6% | 0.02 | -0.01 | 1.0x | 94 | 16% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=2 |
-1.3% | -46.4% | -0.04 | -0.03 | 0.8x | 132 | 37% |
| MACD fast=8, slow=36, signal=11 |
-4.6% | -82.6% | -0.15 | -0.06 | 0.3x | 421 | 52% |
| Buy and hold | -5.1% | -90.9% | -0.02 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 26 days