Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alpine Income Property Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alpine Income Property Trust, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.1%, MDD -11.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.8%, drawdown -60.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.9%, MDD -16.8%, Sharpe 0.36, 27% exposure.
CAGR reference leader: Supertrend — CAGR 4.8%, MDD -32.9%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 43.2%p (CAGR 1.1%, MDD -11.2%, exposure 10%).
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=114, exitN=38 |
3.9% | -16.8% | 0.36 | 0.23 | 1.3x | 7 | 27% |
| Supertrend period=13, mult=4.6 |
4.8% | -32.9% | 0.31 | 0.15 | 1.4x | 15 | 55% |
| ADX / DI 방향성 period=34, threshold=21 |
1.8% | -11.6% | 0.26 | 0.16 | 1.1x | 6 | 5% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=9, mult=3.7 |
1.1% | -11.2% | 0.20 | 0.10 | 1.1x | 6 | 10% |
| SMA 크로스오버 fast=45, slow=131 |
1.1% | -41.4% | 0.16 | 0.03 | 1.1x | 15 | 47% |
| EMA 크로스오버 fast=48, slow=210 |
0.5% | -36.4% | 0.11 | 0.01 | 1.0x | 7 | 42% |
| ROC 모멘텀 n=141, threshold=0.07 |
0.5% | -30.1% | 0.11 | 0.02 | 1.0x | 45 | 33% |
| MACD fast=20, slow=52, signal=18 |
-2.0% | -54.0% | 0.03 | -0.04 | 0.9x | 74 | 47% |
| 볼린저 밴드 돌파 n=28, k=3.1 |
-0.3% | -9.9% | -0.04 | -0.03 | 1.0x | 6 | 4% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-15.5% | -75.9% | -0.56 | -0.20 | 0.3x | 126 | 49% |
| Buy and hold | 0.8% | -60.0% | 0.22 | 0.01 | 1.1x | 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 114 days
- Sell — Sell when price breaks below the lowest low of the last 38 days