Trend-Following Backtester · Guide · backtest 한국어
equity · US
TPG RE Finance Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of TPG RE Finance Trust, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.5%, MDD -6.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.5%, drawdown -88.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.4%, MDD -15.7%, Sharpe 0.34, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 72.3%p (CAGR 1.5%, MDD -6.8%, 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=72, threshold=0.11 |
4.4% | -15.7% | 0.34 | 0.28 | 1.5x | 48 | 18% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=2.6 |
1.5% | -6.8% | 0.31 | 0.22 | 1.1x | 6 | 2% |
| 볼린저 밴드 돌파 n=18, k=3 |
1.3% | -7.5% | 0.28 | 0.17 | 1.1x | 4 | 2% |
| Parabolic SAR step=0.02, maxStep=0.2 |
2.4% | -55.8% | 0.22 | 0.04 | 1.2x | 190 | 52% |
| MACD fast=7, slow=40, signal=10 |
-0.0% | -51.5% | 0.14 | -0.00 | 1.0x | 196 | 51% |
| SMA 크로스오버 fast=48, slow=88 |
0.2% | -50.2% | 0.12 | 0.00 | 1.0x | 25 | 47% |
| Donchian 채널 돌파 entryN=105, exitN=52 |
-0.3% | -22.4% | 0.06 | -0.01 | 1.0x | 10 | 36% |
| Supertrend period=23, mult=2.4 |
-1.8% | -46.3% | 0.05 | -0.04 | 0.9x | 78 | 49% |
| EMA 크로스오버 fast=47, slow=184 |
-1.2% | -33.0% | 0.01 | -0.04 | 0.9x | 14 | 43% |
| ADX / DI 방향성 period=33, threshold=12 |
-3.8% | -43.6% | -0.16 | -0.09 | 0.7x | 68 | 26% |
| Buy and hold | -9.5% | -88.0% | 0.07 | -0.11 | 0.4x | 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 72-day return is greater than 11%
- Sell — Sell when the 72-day return drops to 11% or below