Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Crombie Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Crombie Real Estate Investment Trust. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 2.9%, MDD -26.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.9%, drawdown -62.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -28.0%, Sharpe 0.34, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 2.9%, MDD -26.7%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=38, slow=98 |
3.5% | -28.0% | 0.34 | 0.12 | 2.0x | 49 | 58% |
| Supertrend period=25, mult=5 |
2.9% | -26.7% | 0.29 | 0.11 | 1.8x | 40 | 61% |
| EMA 크로스오버 fast=34, slow=51 |
2.4% | -39.8% | 0.26 | 0.06 | 1.6x | 62 | 57% |
| ROC 모멘텀 Hold-like · Exposure 99% n=3, threshold=-0.08 |
3.1% | -50.4% | 0.25 | 0.06 | 1.9x | 27 | 99% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=26, mult=3.1 |
1.7% | -15.7% | 0.25 | 0.11 | 1.4x | 40 | 25% |
| Donchian 채널 돌파 entryN=53, exitN=61 |
2.3% | -37.8% | 0.24 | 0.06 | 1.6x | 39 | 60% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
1.0% | -12.8% | 0.22 | 0.08 | 1.2x | 20 | 11% |
| ADX / DI 방향성 period=31, threshold=21 |
0.9% | -21.0% | 0.19 | 0.04 | 1.2x | 30 | 10% |
| MACD fast=39, slow=117, signal=40 |
-0.4% | -46.9% | 0.03 | -0.01 | 0.9x | 100 | 50% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-3.7% | -66.7% | -0.21 | -0.05 | 0.5x | 170 | 56% |
| Buy and hold | 1.9% | -62.3% | 0.20 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 38-day average price crosses above the 98-day average
- Sell — Sell (to cash) when the 38-day average falls below the 98-day average