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. 5 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
5 of 10 beat buy and hold (CAGR -0.8%, drawdown -61.1%).
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 2.7%, MDD -34.0%, exposure 35%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 54.6%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% | 0.29 | 0.21 | 1.1x | 2 | 4% |
| EMA 크로스오버 fast=75, slow=230 |
2.7% | -34.0% | 0.24 | 0.08 | 1.2x | 8 | 35% |
| SMA 크로스오버 fast=12, slow=45 |
-0.9% | -49.9% | 0.05 | -0.02 | 0.9x | 48 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=15, mult=3.2 |
0.1% | -12.9% | 0.05 | 0.01 | 1.0x | 6 | 3% |
| ROC 모멘텀 n=105, threshold=0.18 |
-0.5% | -21.3% | 0.00 | -0.02 | 1.0x | 36 | 13% |
| Supertrend period=21, mult=4.1 |
-2.7% | -53.8% | -0.03 | -0.05 | 0.8x | 32 | 53% |
| Donchian 채널 돌파 entryN=30, exitN=28 |
-3.9% | -54.4% | -0.12 | -0.07 | 0.7x | 32 | 48% |
| MACD fast=7, slow=42, signal=11 |
-8.0% | -59.6% | -0.31 | -0.13 | 0.5x | 158 | 48% |
| Parabolic SAR step=0.045, maxStep=0.16 |
-9.9% | -62.7% | -0.43 | -0.16 | 0.4x | 246 | 48% |
| Buy and hold | -0.8% | -61.1% | 0.12 | -0.01 | 0.9x | 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)