Trend-Following Backtester · Guide · backtest 한국어
equity · JP
KDX Realty Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of KDX Realty Investment Corporation. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -11.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -88.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.8%, MDD -26.4%, Sharpe 0.42, 39% exposure.
CAGR reference leader: Supertrend — CAGR 6.1%, MDD -53.0%, exposure 59%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.5%p higher than buy and hold, while drawdown improves by 62.1%p (CAGR 1.3%, MDD -11.5%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=81, k=1.5 |
5.8% | -26.4% | 0.42 | 0.22 | 3.2x | 62 | 39% |
| Donchian 채널 돌파 entryN=61, exitN=32 |
5.5% | -37.6% | 0.40 | 0.15 | 3.1x | 52 | 42% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=11, mult=2.4 |
5.2% | -31.6% | 0.38 | 0.16 | 2.9x | 70 | 37% |
| Supertrend period=8, mult=4.4 |
6.1% | -53.0% | 0.37 | 0.12 | 3.4x | 62 | 59% |
| ROC 모멘텀 n=97, threshold=-0.04 |
4.6% | -48.6% | 0.32 | 0.10 | 2.6x | 185 | 66% |
| ADX / DI 방향성 period=28, threshold=38 |
1.3% | -11.5% | 0.31 | 0.12 | 1.3x | 2 | 1% |
| SMA 크로스오버 fast=7, slow=121 |
4.1% | -43.6% | 0.30 | 0.09 | 2.3x | 78 | 53% |
| MACD fast=40, slow=52, signal=53 |
4.5% | -53.9% | 0.30 | 0.08 | 2.5x | 111 | 51% |
| EMA 크로스오버 fast=50, slow=62 |
3.8% | -44.5% | 0.29 | 0.09 | 2.2x | 48 | 54% |
| Parabolic SAR step=0.005, maxStep=0.2 |
1.6% | -58.3% | 0.19 | 0.03 | 1.4x | 165 | 51% |
| Buy and hold | 0.2% | -88.4% | 0.19 | 0.00 | 1.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 81-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 81-day middle average