Trend-Following Backtester · Guide · backtest 한국어
equity · US
Geo Group Inc (The) REIT backtest
10 trend-following strategies were compared on the full daily history of Geo Group Inc (The) REIT. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 13.7%, MDD -42.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.4%, drawdown -86.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.5%, MDD -64.3%, Sharpe 0.66, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 22.3%p (CAGR 13.7%, MDD -42.8%, exposure 28%).
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=61, exitN=46 |
16.5% | -64.3% | 0.66 | 0.26 | 135.5x | 57 | 47% |
| 볼린저 밴드 돌파 n=63, k=2.4 |
13.7% | -42.8% | 0.65 | 0.32 | 61.7x | 77 | 28% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=13, mult=1.8 |
14.9% | -62.8% | 0.63 | 0.24 | 86.4x | 119 | 44% |
| Supertrend period=12, mult=5 |
15.2% | -76.6% | 0.61 | 0.20 | 92.9x | 93 | 53% |
| EMA 크로스오버 fast=22, slow=62 |
14.8% | -58.6% | 0.60 | 0.25 | 84.5x | 99 | 51% |
| ADX / DI 방향성 period=32, threshold=12 |
13.6% | -59.5% | 0.59 | 0.23 | 59.5x | 257 | 41% |
| SMA 크로스오버 fast=6, slow=138 |
14.0% | -60.8% | 0.59 | 0.23 | 67.2x | 93 | 49% |
| ROC 모멘텀 n=99, threshold=0.11 |
11.6% | -65.6% | 0.54 | 0.18 | 33.5x | 207 | 38% |
| MACD fast=19, slow=52, signal=19 |
3.1% | -85.6% | 0.25 | 0.04 | 2.7x | 308 | 52% |
| Parabolic SAR step=0.03, maxStep=0.26 |
-1.8% | -90.8% | 0.10 | -0.02 | 0.6x | 863 | 53% |
| Buy and hold | 11.4% | -86.6% | 0.46 | 0.13 | 31.7x | 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 61 days
- Sell — Sell when price breaks below the lowest low of the last 46 days