Trend-Following Backtester · Guide · backtest 한국어
etf · SG
Lion-Phillip S-REIT ETF backtest
10 trend-following strategies were compared on the full daily history of Lion-Phillip S-REIT ETF. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.2%, MDD -3.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.4%, drawdown -40.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.4%, MDD -3.3%, Sharpe 0.22, 3% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 0.2%, MDD -3.0%, 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=12, k=3 |
0.4% | -3.3% | 0.22 | 0.13 | 1.0x | 8 | 3% |
| ROC 모멘텀 n=26, threshold=0.13 |
0.2% | -3.0% | 0.15 | 0.08 | 1.0x | 8 | 1% |
| Donchian 채널 돌파 entryN=117, exitN=26 |
0.4% | -15.9% | 0.12 | 0.03 | 1.0x | 10 | 14% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.4% | -14.3% | 0.09 | 0.03 | 1.0x | 63 | 52% |
| ADX / DI 방향성 period=35, threshold=23 |
-0.0% | -10.2% | -0.00 | -0.00 | 1.0x | 8 | 4% |
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=29, mult=2.8 |
-0.0% | -4.9% | -0.02 | -0.01 | 1.0x | 4 | 1% |
| Supertrend period=18, mult=2.7 |
-1.7% | -26.0% | -0.13 | -0.07 | 0.9x | 69 | 47% |
| MACD fast=21, slow=24, signal=17 |
-2.2% | -27.2% | -0.19 | -0.08 | 0.8x | 93 | 49% |
| EMA 크로스오버 fast=50, slow=86 |
-2.2% | -33.9% | -0.25 | -0.06 | 0.8x | 14 | 39% |
| SMA 크로스오버 fast=56, slow=217 |
-3.7% | -40.6% | -0.33 | -0.09 | 0.7x | 8 | 35% |
| Buy and hold | -2.4% | -40.3% | -0.08 | -0.06 | 0.8x | 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 12-day average (3× volatility)
- Sell — Sell when the close falls back to the 12-day middle average