Trend-Following Backtester · Guide · backtest 한국어
etf · US
Cohen & Steers Quality Income Realty Fund Inc backtest
10 trend-following strategies were compared on the full daily history of Cohen & Steers Quality Income Realty Fund Inc. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.8%, MDD -22.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.9%, drawdown -94.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -38.2%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 55.9%p (CAGR 0.8%, MDD -22.1%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=68, slow=187 |
5.5% | -38.2% | 0.39 | 0.14 | 3.7x | 33 | 57% |
| Donchian 채널 돌파 entryN=109, exitN=59 |
3.3% | -40.9% | 0.29 | 0.08 | 2.2x | 37 | 41% |
| EMA 크로스오버 fast=55, slow=154 |
2.0% | -46.5% | 0.20 | 0.04 | 1.6x | 40 | 57% |
| ROC 모멘텀 Hold-like · Exposure 98% n=1, threshold=-0.04 |
0.5% | -88.0% | 0.16 | 0.01 | 1.1x | 223 | 98% |
| 볼린저 밴드 돌파 n=50, k=2.9 |
0.8% | -22.1% | 0.16 | 0.04 | 1.2x | 20 | 9% |
| Supertrend period=9, mult=2 |
0.4% | -56.3% | 0.12 | 0.01 | 1.1x | 346 | 58% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=11, mult=2.6 |
0.2% | -39.9% | 0.08 | 0.01 | 1.1x | 110 | 33% |
| MACD fast=16, slow=49, signal=9 |
-2.2% | -77.2% | -0.00 | -0.03 | 0.6x | 364 | 53% |
| ADX / DI 방향성 period=40, threshold=9 |
-1.4% | -52.9% | -0.02 | -0.03 | 0.7x | 234 | 44% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-3.7% | -67.5% | -0.08 | -0.06 | 0.4x | 526 | 55% |
| Buy and hold | -0.9% | -94.1% | 0.14 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 68-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 68-day average falls below the 187-day average