Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Allied Properties Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Allied Properties Real Estate Investment Trust. 8 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.5%, MDD -14.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.5%, drawdown -85.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.1%, MDD -49.9%, Sharpe 0.29, 59% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR -0.5%, MDD -14.4%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=13, slow=193 |
3.1% | -49.9% | 0.29 | 0.06 | 1.7x | 26 | 59% |
| SMA 크로스오버 fast=51, slow=250 |
2.0% | -59.3% | 0.21 | 0.03 | 1.4x | 16 | 60% |
| Supertrend period=15, mult=4.9 |
1.6% | -31.2% | 0.18 | 0.05 | 1.3x | 46 | 59% |
| Donchian 채널 돌파 entryN=97, exitN=38 |
1.4% | -37.8% | 0.18 | 0.04 | 1.3x | 34 | 44% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=17, mult=3.2 |
1.0% | -30.1% | 0.16 | 0.03 | 1.2x | 48 | 33% |
| ROC 모멘텀 n=120, threshold=-0.04 |
0.5% | -60.0% | 0.11 | 0.01 | 1.1x | 101 | 66% |
| 볼린저 밴드 돌파 n=56, k=2 |
-0.1% | -36.4% | 0.04 | -0.00 | 1.0x | 66 | 36% |
| ADX / DI 방향성 period=27, threshold=36 |
-0.5% | -14.4% | -0.19 | -0.04 | 0.9x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-5.0% | -73.2% | -0.24 | -0.07 | 0.4x | 166 | 54% |
| MACD fast=15, slow=47, signal=17 |
-8.0% | -82.5% | -0.33 | -0.10 | 0.2x | 236 | 52% |
| Buy and hold | -4.5% | -85.8% | -0.03 | -0.05 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 193-day EMA
- Sell — Sell when the 13-day EMA falls below the 193-day EMA