Trend-Following Backtester · Guide · backtest 한국어
equity · CA
CT Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of CT Real Estate Investment Trust. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -46.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -4.2%, Sharpe 0.34, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.5%, MDD -15.7%, exposure 44%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=19, threshold=34 |
0.8% | -4.2% | 0.34 | 0.20 | 1.1x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=9, mult=3.3 |
0.9% | -5.7% | 0.31 | 0.16 | 1.1x | 6 | 4% |
| Donchian 채널 돌파 entryN=134, exitN=57 |
2.5% | -15.7% | 0.30 | 0.16 | 1.4x | 13 | 44% |
| 볼린저 밴드 돌파 n=74, k=3.1 |
0.7% | -11.8% | 0.17 | 0.06 | 1.1x | 10 | 12% |
| Supertrend period=19, mult=5 |
1.2% | -33.2% | 0.16 | 0.04 | 1.2x | 29 | 66% |
| EMA 크로스오버 fast=24, slow=100 |
0.6% | -30.0% | 0.11 | 0.02 | 1.1x | 37 | 60% |
| SMA 크로스오버 fast=22, slow=98 |
0.4% | -35.6% | 0.10 | 0.01 | 1.1x | 33 | 58% |
| ROC 모멘텀 n=8, threshold=0.11 |
0.1% | -2.8% | 0.08 | 0.03 | 1.0x | 8 | 0% |
| MACD fast=15, slow=31, signal=16 |
-7.1% | -65.8% | -0.55 | -0.11 | 0.4x | 192 | 48% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-10.7% | -78.4% | -0.83 | -0.14 | 0.2x | 235 | 54% |
| Buy and hold | 4.9% | -46.1% | 0.35 | 0.11 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 19-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)