Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Charter Hall Retail REIT backtest
10 trend-following strategies were compared on the full daily history of Charter Hall Retail REIT. 6 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 0.1%, MDD -11.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.4%, drawdown -95.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.8%, MDD -42.0%, Sharpe 0.19, 64% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 53.6%p (CAGR 0.1%, MDD -11.9%, exposure 4%).
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=67, exitN=88 |
1.8% | -42.0% | 0.19 | 0.04 | 1.7x | 47 | 64% |
| ROC 모멘텀 n=32, threshold=0.14 |
0.9% | -38.6% | 0.13 | 0.02 | 1.3x | 48 | 2% |
| SMA 크로스오버 fast=57, slow=107 |
0.5% | -54.2% | 0.12 | 0.01 | 1.2x | 71 | 57% |
| ADX / DI 방향성 period=30, threshold=16 |
0.5% | -49.6% | 0.11 | 0.01 | 1.2x | 132 | 20% |
| Keltner 채널 돌파 emaPeriod=3, atrPeriod=27, mult=2.4 |
0.1% | -11.9% | 0.06 | 0.01 | 1.0x | 14 | 4% |
| Supertrend period=25, mult=4.2 |
-1.1% | -66.8% | 0.04 | -0.02 | 0.7x | 105 | 58% |
| EMA 크로스오버 fast=77, slow=115 |
-2.0% | -66.7% | -0.04 | -0.03 | 0.6x | 50 | 58% |
| MACD fast=22, slow=88, signal=19 |
-4.0% | -81.1% | -0.07 | -0.05 | 0.3x | 277 | 51% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-5.8% | -85.3% | -0.19 | -0.07 | 0.2x | 355 | 54% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
-2.7% | -63.1% | -0.26 | -0.04 | 0.4x | 48 | 11% |
| Buy and hold | -1.4% | -95.6% | 0.11 | -0.01 | 0.7x | 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 67 days
- Sell — Sell when price breaks below the lowest low of the last 88 days