Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Chartwell Retirement Residences backtest
10 trend-following strategies were compared on the full daily history of Chartwell Retirement Residences. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -31.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.1%, drawdown -82.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -31.8%, Sharpe 0.51, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 50.7%p (CAGR 7.3%, MDD -31.8%, exposure 60%).
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=22, slow=191 |
7.3% | -31.8% | 0.51 | 0.23 | 4.9x | 31 | 60% |
| Donchian 채널 돌파 entryN=79, exitN=92 |
6.9% | -39.4% | 0.49 | 0.18 | 4.6x | 23 | 63% |
| EMA 크로스오버 fast=47, slow=176 |
5.7% | -33.1% | 0.43 | 0.17 | 3.5x | 29 | 61% |
| ROC 모멘텀 n=162, threshold=0.02 |
3.7% | -47.7% | 0.31 | 0.08 | 2.3x | 139 | 55% |
| ADX / DI 방향성 period=30, threshold=38 |
0.2% | -1.5% | 0.27 | 0.13 | 1.0x | 2 | 0% |
| Supertrend period=4, mult=4.4 |
1.8% | -53.9% | 0.19 | 0.03 | 1.5x | 79 | 60% |
| 볼린저 밴드 돌파 n=43, k=1.3 |
1.0% | -29.1% | 0.14 | 0.03 | 1.3x | 155 | 45% |
| MACD fast=17, slow=59, signal=23 |
0.9% | -50.9% | 0.14 | 0.02 | 1.2x | 219 | 50% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=26, mult=1.7 |
-1.5% | -47.0% | -0.04 | -0.03 | 0.7x | 143 | 41% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-5.8% | -80.4% | -0.22 | -0.07 | 0.3x | 405 | 55% |
| Buy and hold | 3.1% | -82.5% | 0.25 | 0.04 | 2.0x | 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 22-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 22-day average falls below the 191-day average