Trend-Following Backtester · Guide · backtest 한국어

equity · US

Kilroy Realty Corporation backtest

10 trend-following strategies were compared on the full daily history of Kilroy Realty Corporation. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.6%, MDD -15.1%).

Data 1997-01-29 ~ 2026-07-31daily bars 7,422 (29.5 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 1.5%, drawdown -82.9%).

Sharpe leader (same as main): Supertrend — CAGR 4.8%, MDD -40.9%, Sharpe 0.36, 55% exposure.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 1.6%, MDD -15.1%, exposure 6%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=10, mult=4.9
4.8%-40.9%0.360.123.9x8155%
볼린저 밴드 돌파
n=29, k=3.1
1.6%-15.1%0.300.101.6x226%
Donchian 채널 돌파
entryN=54, exitN=37
2.7%-53.2%0.250.052.2x7348%
SMA 크로스오버
fast=35, slow=114
2.2%-67.9%0.210.031.9x6356%
EMA 크로스오버
fast=11, slow=160
1.6%-66.5%0.180.021.6x8757%
ROC 모멘텀
n=109, threshold=-0.09
0.8%-63.6%0.140.011.3x16776%
ADX / DI 방향성
period=34, threshold=30
0.2%-17.0%0.090.011.1x82%
Keltner 채널 돌파
emaPeriod=38, atrPeriod=13, mult=2.4
0.0%-42.9%0.060.001.0x13330%
Parabolic SAR
step=0.005, maxStep=0.02
-1.2%-67.6%0.03-0.020.7x15553%
MACD
fast=24, slow=34, signal=28
-2.4%-79.0%0.01-0.030.5x28450%
Buy and hold1.5%-82.9%0.210.021.5x1100%
1x 1998 2002 2006 2010 2014 2018 2022 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -41% -62% -83% 1998 2002 2006 2010 2014 2018 2022 2026 Buy and holdSupertrend
Supertrend maximum drawdown -40.9% (2016-09-07 → 2021-01-11), prior peak not yet recovered.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next