Trend-Following Backtester · Guide · backtest 한국어

equity · SE

Cibus Real Estate AB (publ) backtest

10 trend-following strategies were compared on the full daily history of Cibus Real Estate AB (publ). 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.1%, MDD -10.5%).

Data 2018-03-09 ~ 2026-07-30daily bars 2,104 (8.4 years)Costs 0.5%Venue OMXSTOMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 4.2%, drawdown -66.9%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.2%, MDD -16.4%, Sharpe 0.80, 33% exposure.

CAGR reference leader: MACD — CAGR 10.9%, MDD -40.4%, exposure 49%.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 50.5%p (CAGR 6.1%, MDD -10.5%, exposure 21%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=50, atrPeriod=18, mult=3.1
9.2%-16.4%0.800.562.1x1833%
MACD
fast=19, slow=35, signal=19
10.9%-40.4%0.670.272.4x7849%
Donchian 채널 돌파
entryN=109, exitN=8
6.1%-10.5%0.660.581.6x2621%
EMA 크로스오버
fast=5, slow=206
10.3%-27.0%0.650.382.3x1255%
볼린저 밴드 돌파
n=60, k=2.2
7.0%-23.0%0.610.301.8x1834%
ADX / DI 방향성
period=15, threshold=27
6.4%-19.1%0.590.341.7x5424%
SMA 크로스오버
fast=8, slow=206
9.1%-30.2%0.580.302.1x1654%
Supertrend
period=8, mult=1.9
8.6%-38.5%0.560.222.0x8055%
ROC 모멘텀
n=124, threshold=0.03
6.4%-39.3%0.450.161.7x4252%
Parabolic SAR
step=0.005, maxStep=0.16
4.4%-44.3%0.330.101.4x6855%
Buy and hold4.2%-66.9%0.290.061.4x1100%
1x 2019 2020 2021 2022 2023 2024 2025 2026 MACDKeltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), MACD (CAGR reference), Buy and hold.
0% -17% -33% -50% -67% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdMACDKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -16.4% (2021-12-30 → 2023-11-16), recovered after 886 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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