Trend-Following Backtester · Guide · backtest 한국어
equity · US
CBRE Group Inc backtest
10 trend-following strategies were compared on the full daily history of CBRE Group Inc. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 18.7%, MDD -37.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.4%, drawdown -94.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.7%, MDD -40.9%, Sharpe 0.77, 78% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 53.4%p (CAGR 18.7%, MDD -37.5%, exposure 66%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=26, exitN=56 |
21.7% | -40.9% | 0.77 | 0.53 | 76.8x | 51 | 78% |
| SMA 크로스오버 fast=17, slow=95 |
18.7% | -37.5% | 0.73 | 0.50 | 44.1x | 69 | 66% |
| EMA 크로스오버 fast=25, slow=86 |
16.9% | -39.1% | 0.69 | 0.43 | 31.5x | 59 | 67% |
| Supertrend period=19, mult=5 |
15.0% | -56.9% | 0.62 | 0.26 | 22.1x | 69 | 64% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
5.7% | -20.1% | 0.61 | 0.28 | 3.4x | 14 | 12% |
| ROC 모멘텀 n=109, threshold=-0.04 |
14.4% | -53.3% | 0.60 | 0.27 | 19.7x | 131 | 72% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=12, mult=2.8 |
8.7% | -47.0% | 0.48 | 0.18 | 6.3x | 90 | 41% |
| ADX / DI 방향성 period=22, threshold=13 |
6.4% | -54.2% | 0.37 | 0.12 | 4.0x | 291 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
4.9% | -81.4% | 0.30 | 0.06 | 2.9x | 205 | 58% |
| MACD fast=11, slow=40, signal=19 |
-1.1% | -93.6% | 0.16 | -0.01 | 0.8x | 313 | 51% |
| Buy and hold | 15.4% | -94.3% | 0.53 | 0.16 | 23.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 26 days
- Sell — Sell when price breaks below the lowest low of the last 56 days