Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kilroy Realty Corporation backtest
10 trend-following strategies were compared on the full daily history of Kilroy Realty Corporation. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.6%, MDD -15.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.2%, drawdown -82.9%).
Sharpe leader (same as main): Supertrend — CAGR 4.5%, MDD -40.9%, Sharpe 0.34, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 42.0%p (CAGR 1.6%, MDD -15.1%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=4.9 |
4.5% | -40.9% | 0.34 | 0.11 | 3.7x | 81 | 55% |
| 볼린저 밴드 돌파 n=29, k=3.1 |
1.6% | -15.1% | 0.30 | 0.10 | 1.6x | 22 | 6% |
| Donchian 채널 돌파 entryN=54, exitN=37 |
2.4% | -53.2% | 0.23 | 0.05 | 2.0x | 74 | 48% |
| SMA 크로스오버 fast=35, slow=114 |
2.0% | -67.9% | 0.20 | 0.03 | 1.8x | 63 | 56% |
| EMA 크로스오버 fast=11, slow=160 |
1.4% | -66.5% | 0.17 | 0.02 | 1.5x | 87 | 57% |
| ROC 모멘텀 n=109, threshold=-0.09 |
0.6% | -63.6% | 0.13 | 0.01 | 1.2x | 167 | 76% |
| ADX / DI 방향성 period=34, threshold=30 |
0.2% | -17.0% | 0.09 | 0.01 | 1.1x | 8 | 2% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=2.4 |
-0.1% | -42.9% | 0.05 | -0.00 | 1.0x | 134 | 30% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-1.5% | -67.6% | 0.02 | -0.02 | 0.6x | 156 | 53% |
| MACD fast=24, slow=34, signal=28 |
-2.3% | -79.0% | 0.01 | -0.03 | 0.5x | 284 | 50% |
| Buy and hold | 1.2% | -82.9% | 0.20 | 0.01 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)