Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chiron Real Estate Inc. backtest
10 trend-following strategies were compared on the full daily history of Chiron Real Estate Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.9%, MDD -15.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.5%, drawdown -67.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.9%, MDD -15.5%, Sharpe 0.33, 3% exposure.
CAGR reference leader: Supertrend — CAGR 2.2%, MDD -40.0%, exposure 64%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 51.7%p (CAGR 1.9%, MDD -15.5%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=12, k=2.7 |
1.9% | -15.5% | 0.33 | 0.12 | 1.2x | 14 | 3% |
| Supertrend period=35, mult=5 |
2.2% | -40.0% | 0.21 | 0.06 | 1.2x | 25 | 64% |
| Donchian 채널 돌파 entryN=15, exitN=63 |
-1.0% | -56.9% | 0.09 | -0.02 | 0.9x | 31 | 75% |
| SMA 크로스오버 fast=47, slow=155 |
-1.5% | -54.6% | 0.06 | -0.03 | 0.9x | 17 | 51% |
| EMA 크로스오버 fast=33, slow=264 |
-1.0% | -49.6% | 0.06 | -0.02 | 0.9x | 13 | 40% |
| MACD fast=16, slow=58, signal=24 |
-1.7% | -38.3% | 0.04 | -0.04 | 0.8x | 90 | 51% |
| ADX / DI 방향성 period=26, threshold=22 |
-0.7% | -23.8% | -0.04 | -0.03 | 0.9x | 20 | 6% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.7% | -45.1% | -0.05 | -0.08 | 0.7x | 176 | 50% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=30, mult=2.1 |
-1.0% | -26.3% | -0.09 | -0.04 | 0.9x | 28 | 8% |
| ROC 모멘텀 n=115, threshold=0 |
-7.4% | -67.6% | -0.27 | -0.11 | 0.5x | 114 | 50% |
| Buy and hold | -3.5% | -67.2% | 0.07 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 12-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 12-day middle average