Trend-Following Backtester · Guide · backtest 한국어
equity · US
KKR Real Estate Finance Trust Inc. backtest
10 trend-following strategies were compared on the full daily history of KKR Real Estate Finance Trust Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.3%, MDD -9.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.8%, drawdown -74.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.6%, MDD -25.8%, Sharpe 0.11, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 48.8%p (CAGR 0.3%, MDD -9.6%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=143, threshold=0.08 |
0.6% | -25.8% | 0.11 | 0.02 | 1.1x | 36 | 17% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
0.3% | -9.6% | 0.09 | 0.03 | 1.0x | 2 | 2% |
| MACD fast=13, slow=41, signal=18 |
-1.6% | -39.7% | 0.02 | -0.04 | 0.9x | 102 | 53% |
| Supertrend period=29, mult=4.9 |
-1.9% | -42.8% | -0.00 | -0.04 | 0.8x | 25 | 52% |
| Donchian 채널 돌파 entryN=110, exitN=22 |
-0.5% | -23.1% | -0.04 | -0.02 | 1.0x | 10 | 10% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=18, mult=3.8 |
-0.4% | -15.6% | -0.07 | -0.03 | 1.0x | 4 | 2% |
| ADX / DI 방향성 period=30, threshold=19 |
-0.7% | -17.2% | -0.07 | -0.04 | 0.9x | 20 | 7% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-7.7% | -60.6% | -0.29 | -0.13 | 0.5x | 156 | 50% |
| SMA 크로스오버 fast=12, slow=184 |
-6.5% | -48.2% | -0.43 | -0.13 | 0.5x | 23 | 35% |
| EMA 크로스오버 fast=21, slow=200 |
-5.3% | -39.5% | -0.44 | -0.13 | 0.6x | 22 | 30% |
| Buy and hold | -11.8% | -74.6% | -0.25 | -0.16 | 0.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 143-day return is greater than 8%
- Sell — Sell when the 143-day return drops to 8% or below