Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Target Healthcare REIT PLC backtest
10 trend-following strategies were compared on the full daily history of Target Healthcare REIT PLC. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 0.7%, drawdown -47.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 0.9%, MDD -47.5%, Sharpe 0.14, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=8, threshold=-0.08 |
0.9% | -47.5% | 0.14 | 0.02 | 1.1x | 25 | 99% |
| Supertrend period=14, mult=4.5 |
0.2% | -36.8% | 0.09 | 0.00 | 1.0x | 23 | 64% |
| SMA 크로스오버 fast=57, slow=184 |
-1.4% | -49.7% | -0.02 | -0.03 | 0.8x | 27 | 52% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=25, mult=3.9 |
-0.1% | -5.6% | -0.06 | -0.03 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=67, exitN=34 |
-1.5% | -36.1% | -0.09 | -0.04 | 0.8x | 29 | 36% |
| EMA 크로스오버 fast=22, slow=262 |
-2.6% | -53.3% | -0.14 | -0.05 | 0.7x | 31 | 57% |
| ADX / DI 방향성 period=36, threshold=26 |
-0.3% | -7.3% | -0.18 | -0.04 | 1.0x | 12 | 1% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
-1.8% | -27.4% | -0.31 | -0.07 | 0.8x | 18 | 8% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-6.3% | -61.6% | -0.40 | -0.10 | 0.4x | 119 | 56% |
| MACD fast=24, slow=40, signal=13 |
-11.7% | -82.6% | -0.85 | -0.14 | 0.2x | 177 | 48% |
| Buy and hold | 0.7% | -47.0% | 0.14 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -8%
- Sell — Sell when the 8-day return drops to -8% or below