Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Shurgard Self Storage Limited backtest
10 trend-following strategies were compared on the full daily history of Shurgard Self Storage Limited. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -6.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.6%, drawdown -60.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -6.6%, Sharpe 0.30, 5% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 2.8%, MDD -34.0%, exposure 36%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 54.3%p (CAGR 1.7%, MDD -6.6%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=36 |
1.7% | -6.6% | 0.30 | 0.26 | 1.1x | 2 | 5% |
| 볼린저 밴드 돌파 n=52, k=3.1 |
1.7% | -8.0% | 0.30 | 0.21 | 1.1x | 2 | 4% |
| EMA 크로스오버 fast=75, slow=230 |
2.8% | -34.0% | 0.24 | 0.08 | 1.2x | 8 | 36% |
| SMA 크로스오버 fast=12, slow=45 |
-0.5% | -47.1% | 0.07 | -0.01 | 1.0x | 47 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=15, mult=3.2 |
0.1% | -12.9% | 0.05 | 0.01 | 1.0x | 6 | 3% |
| Supertrend period=21, mult=4.1 |
-1.9% | -51.0% | 0.01 | -0.04 | 0.9x | 31 | 54% |
| ROC 모멘텀 n=105, threshold=0.18 |
-0.5% | -21.3% | 0.00 | -0.02 | 1.0x | 36 | 13% |
| Donchian 채널 돌파 entryN=30, exitN=28 |
-3.1% | -51.5% | -0.08 | -0.06 | 0.8x | 31 | 48% |
| MACD fast=7, slow=42, signal=11 |
-7.5% | -59.6% | -0.28 | -0.13 | 0.5x | 156 | 48% |
| Parabolic SAR step=0.045, maxStep=0.16 |
-9.4% | -62.7% | -0.40 | -0.15 | 0.5x | 244 | 49% |
| Buy and hold | 0.6% | -60.9% | 0.16 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 36
- Sell — Sell when direction flips or the trend weakens (ADX < 36)