Trend-Following Backtester · Guide · backtest 한국어
equity · US
Realty Income Corporation backtest
10 trend-following strategies were compared on the full daily history of Realty Income Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.7%, drawdown -50.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.8%, MDD -59.6%, Sharpe 0.28, 93% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=9, exitN=136 |
3.8% | -59.6% | 0.28 | 0.06 | 3.3x | 57 | 93% |
| SMA 크로스오버 fast=61, slow=261 |
3.1% | -48.4% | 0.27 | 0.06 | 2.7x | 33 | 60% |
| Supertrend period=28, mult=5 |
1.4% | -54.2% | 0.16 | 0.03 | 1.5x | 91 | 57% |
| EMA 크로스오버 fast=45, slow=152 |
0.6% | -55.9% | 0.12 | 0.01 | 1.2x | 61 | 63% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.5% | -54.7% | 0.01 | -0.03 | 0.6x | 268 | 56% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
-0.1% | -23.8% | -0.00 | -0.01 | 1.0x | 28 | 5% |
| MACD fast=18, slow=37, signal=19 |
-1.8% | -66.3% | -0.01 | -0.03 | 0.6x | 376 | 53% |
| ROC 모멘텀 n=130, threshold=-0.03 |
-3.5% | -77.9% | -0.10 | -0.04 | 0.3x | 282 | 72% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=2.7 |
-2.0% | -64.4% | -0.13 | -0.03 | 0.5x | 120 | 32% |
| ADX / DI 방향성 period=31, threshold=36 |
-0.2% | -5.7% | -0.19 | -0.03 | 0.9x | 2 | 0% |
| Buy and hold | 6.7% | -50.6% | 0.37 | 0.13 | 7.9x | 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 9 days
- Sell — Sell when price breaks below the lowest low of the last 136 days