Trend-Following Backtester · Guide · backtest 한국어
equity · CA
RioCan Real Estate Investment Trust backtest
10 trend-following strategies were compared on the full daily history of RioCan Real Estate Investment Trust. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.6%, MDD -39.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.5%, drawdown -58.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.6%, MDD -42.7%, Sharpe 0.41, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 16.0%p (CAGR 4.6%, MDD -39.3%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=70, slow=111 |
4.6% | -42.7% | 0.41 | 0.11 | 3.9x | 41 | 61% |
| SMA 크로스오버 fast=39, slow=127 |
4.6% | -39.3% | 0.40 | 0.12 | 3.9x | 53 | 61% |
| Donchian 채널 돌파 entryN=93, exitN=70 |
3.3% | -33.4% | 0.33 | 0.10 | 2.7x | 45 | 56% |
| ROC 모멘텀 n=110, threshold=-0.08 |
3.3% | -47.6% | 0.28 | 0.07 | 2.7x | 147 | 84% |
| Supertrend period=10, mult=4 |
1.3% | -59.0% | 0.17 | 0.02 | 1.5x | 117 | 60% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=3.7 |
1.0% | -33.9% | 0.16 | 0.03 | 1.3x | 61 | 23% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
0.2% | -4.2% | 0.14 | 0.05 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=37, threshold=28 |
0.4% | -16.5% | 0.12 | 0.02 | 1.1x | 12 | 3% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-0.0% | -63.4% | 0.06 | -0.00 | 1.0x | 254 | 57% |
| MACD fast=31, slow=38, signal=21 |
-3.0% | -79.2% | -0.16 | -0.04 | 0.4x | 302 | 51% |
| Buy and hold | 4.5% | -58.6% | 0.31 | 0.08 | 3.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 111-day EMA
- Sell — Sell when the 70-day EMA falls below the 111-day EMA