Trend-Following Backtester · Guide · backtest 한국어
equity · US
Four Corners Property Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Four Corners Property Trust, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.4%, MDD -7.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 1.8%, drawdown -57.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.4%, MDD -7.1%, Sharpe 0.37, 6% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 50.5%p (CAGR 1.4%, MDD -7.1%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=14, mult=3.4 |
1.4% | -7.1% | 0.37 | 0.20 | 1.2x | 8 | 6% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
0.8% | -3.5% | 0.31 | 0.22 | 1.1x | 6 | 3% |
| MACD fast=16, slow=36, signal=14 |
-0.0% | -43.3% | 0.09 | -0.00 | 1.0x | 142 | 52% |
| SMA 크로스오버 fast=57, slow=75 |
-2.6% | -58.6% | 0.01 | -0.04 | 0.8x | 47 | 54% |
| Donchian 채널 돌파 entryN=23, exitN=62 |
-2.8% | -54.0% | 0.01 | -0.05 | 0.7x | 29 | 75% |
| ADX / DI 방향성 period=11, threshold=36 |
-0.6% | -14.7% | -0.10 | -0.04 | 0.9x | 34 | 7% |
| Supertrend period=13, mult=3.6 |
-5.1% | -54.9% | -0.13 | -0.09 | 0.6x | 54 | 52% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-6.3% | -55.3% | -0.19 | -0.11 | 0.5x | 96 | 54% |
| EMA 크로스오버 fast=52, slow=214 |
-6.9% | -65.0% | -0.23 | -0.11 | 0.5x | 21 | 54% |
| ROC 모멘텀 n=92, threshold=0.07 |
-3.2% | -40.4% | -0.25 | -0.08 | 0.7x | 112 | 28% |
| Buy and hold | 1.8% | -57.6% | 0.23 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 21-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 21-day average