Trend-Following Backtester · Guide · backtest 한국어
equity · US
Real REMAX Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Real REMAX Group Inc.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.4%, MDD -28.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 16.2%, drawdown -76.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 47.6%, MDD -57.6%, Sharpe 1.14, 22% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 31.4%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 17.4%, MDD -28.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=8, k=1.8 |
47.6% | -57.6% | 1.14 | 0.83 | 9.0x | 84 | 22% |
| Parabolic SAR step=0.01, maxStep=0.08 |
40.0% | -41.6% | 0.90 | 0.96 | 6.7x | 72 | 45% |
| Supertrend period=11, mult=1.5 |
38.7% | -55.0% | 0.90 | 0.70 | 6.3x | 68 | 40% |
| ROC 모멘텀 n=9, threshold=0.05 |
34.0% | -42.0% | 0.87 | 0.81 | 5.2x | 164 | 28% |
| ADX / DI 방향성 period=13, threshold=19 |
21.0% | -41.2% | 0.66 | 0.51 | 2.9x | 74 | 34% |
| Donchian 채널 돌파 entryN=136, exitN=34 |
17.4% | -28.7% | 0.66 | 0.61 | 2.5x | 6 | 21% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=2.4 |
15.5% | -40.5% | 0.58 | 0.38 | 2.3x | 16 | 21% |
| SMA 크로스오버 fast=12, slow=162 |
14.9% | -52.7% | 0.54 | 0.28 | 2.2x | 11 | 32% |
| EMA 크로스오버 fast=14, slow=153 |
13.1% | -64.6% | 0.51 | 0.20 | 2.0x | 12 | 36% |
| MACD fast=5, slow=52, signal=20 |
9.3% | -62.2% | 0.42 | 0.15 | 1.7x | 100 | 45% |
| Buy and hold | 16.2% | -76.1% | 0.55 | 0.21 | 2.3x | 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 8-day average (1.8× volatility)
- Sell — Sell when the close falls back to the 8-day middle average