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; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -3.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.7%, drawdown -88.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.8%, MDD -4.8%, Sharpe 0.47, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.6%, MDD -19.4%, exposure 20%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.5%p higher than buy and hold, while drawdown improves by 83.2%p (CAGR 0.1%, MDD -3.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=25, mult=2.2 |
1.8% | -4.8% | 0.47 | 0.37 | 1.2x | 2 | 1% |
| ROC 모멘텀 n=72, threshold=0.09 |
4.6% | -19.4% | 0.35 | 0.24 | 1.5x | 56 | 20% |
| Parabolic SAR step=0.02, maxStep=0.2 |
1.7% | -55.8% | 0.19 | 0.03 | 1.2x | 194 | 51% |
| MACD fast=10, slow=26, signal=9 |
1.3% | -53.8% | 0.19 | 0.02 | 1.1x | 204 | 50% |
| Supertrend period=27, mult=2.3 |
0.2% | -41.1% | 0.13 | 0.00 | 1.0x | 78 | 48% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
0.1% | -3.9% | 0.08 | 0.04 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=52, slow=98 |
-1.0% | -51.9% | 0.07 | -0.02 | 0.9x | 24 | 47% |
| Donchian 채널 돌파 entryN=107, exitN=60 |
-0.3% | -22.4% | 0.06 | -0.01 | 1.0x | 10 | 35% |
| EMA 크로스오버 fast=46, slow=175 |
-1.0% | -29.6% | 0.02 | -0.03 | 0.9x | 14 | 43% |
| ADX / DI 방향성 period=37, threshold=25 |
-0.2% | -11.7% | -0.02 | -0.02 | 1.0x | 2 | 0% |
| Buy and hold | -11.7% | -88.0% | 0.02 | -0.13 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 6-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average