Trend-Following Backtester · Guide · backtest 한국어
etf · TH
CPN Commercial Growth Leasehold Property Fund backtest
10 trend-following strategies were compared on the full daily history of CPN Commercial Growth Leasehold Property Fund. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -16.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.3%, drawdown -71.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.3%, MDD -37.3%, Sharpe 0.26, 45% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 33.7%p (CAGR 0.6%, MDD -16.9%, exposure 9%).
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=43, slow=51 |
3.3% | -37.3% | 0.26 | 0.09 | 1.6x | 22 | 45% |
| SMA 크로스오버 fast=23, slow=133 |
2.9% | -37.3% | 0.23 | 0.08 | 1.5x | 20 | 43% |
| Donchian 채널 돌파 entryN=69, exitN=77 |
1.5% | -38.1% | 0.17 | 0.04 | 1.2x | 20 | 49% |
| ADX / DI 방향성 period=17, threshold=35 |
0.6% | -16.9% | 0.14 | 0.04 | 1.1x | 34 | 9% |
| Supertrend period=8, mult=3.1 |
-0.2% | -41.2% | 0.10 | -0.00 | 1.0x | 63 | 49% |
| MACD fast=34, slow=93, signal=36 |
-1.2% | -43.0% | 0.05 | -0.03 | 0.8x | 51 | 49% |
| 볼린저 밴드 돌파 n=59, k=1.7 |
-1.1% | -40.8% | 0.05 | -0.03 | 0.9x | 52 | 28% |
| ROC 모멘텀 n=99, threshold=-0.01 |
-1.8% | -47.6% | 0.02 | -0.04 | 0.8x | 122 | 50% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=14, mult=1.3 |
-1.8% | -50.8% | 0.02 | -0.03 | 0.8x | 72 | 32% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-2.2% | -47.5% | 0.00 | -0.05 | 0.7x | 103 | 43% |
| Buy and hold | -6.3% | -71.0% | -0.13 | -0.09 | 0.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 51-day EMA
- Sell — Sell when the 43-day EMA falls below the 51-day EMA