Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kite Realty Group Trust backtest
10 trend-following strategies were compared on the full daily history of Kite Realty Group Trust. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -12.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.1%, drawdown -91.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -12.3%, Sharpe 0.21, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.5%, MDD -57.4%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 79.3%p (CAGR 0.7%, MDD -12.3%, exposure 2%).
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=29, k=3.3 |
0.7% | -12.3% | 0.21 | 0.06 | 1.2x | 6 | 2% |
| SMA 크로스오버 fast=46, slow=138 |
1.5% | -57.4% | 0.18 | 0.03 | 1.4x | 51 | 53% |
| Donchian 채널 돌파 entryN=48, exitN=104 |
0.6% | -67.0% | 0.17 | 0.01 | 1.2x | 31 | 75% |
| ADX / DI 방향성 period=33, threshold=23 |
0.6% | -17.3% | 0.14 | 0.04 | 1.2x | 20 | 5% |
| EMA 크로스오버 fast=56, slow=174 |
-0.7% | -54.0% | 0.07 | -0.01 | 0.9x | 37 | 51% |
| Supertrend period=1, mult=4.9 |
-2.0% | -72.7% | 0.06 | -0.03 | 0.6x | 124 | 52% |
| MACD fast=17, slow=52, signal=19 |
-4.3% | -81.5% | -0.02 | -0.05 | 0.4x | 256 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=3.6 |
-1.0% | -52.8% | -0.03 | -0.02 | 0.8x | 38 | 17% |
| ROC 모멘텀 n=127, threshold=-0.03 |
-5.0% | -82.7% | -0.09 | -0.06 | 0.3x | 219 | 62% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-7.1% | -90.4% | -0.12 | -0.08 | 0.2x | 202 | 52% |
| Buy and hold | -3.1% | -91.5% | 0.14 | -0.03 | 0.5x | 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 29-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 29-day middle average