Trend-Following Backtester · Guide · backtest 한국어

equity · US

Host Hotels & Resorts, Inc. backtest

10 trend-following strategies were compared on the full daily history of Host Hotels & Resorts, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 4.5%, drawdown -91.2%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.4%, MDD -11.0%, Sharpe 0.39, 1% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 3.7%, MDD -86.6%, exposure 75%.

No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=30, threshold=37
1.4%-11.0%0.390.121.9x41%
Donchian 채널 돌파
entryN=27, exitN=70
3.7%-86.6%0.310.045.5x11575%
EMA 크로스오버
fast=53, slow=106
2.9%-82.1%0.280.033.7x8360%
SMA 크로스오버
fast=54, slow=217
2.7%-84.7%0.280.033.4x5958%
ROC 모멘텀
n=131, threshold=-0.08
1.3%-84.1%0.230.021.8x28772%
Supertrend
period=12, mult=3.1
0.1%-84.4%0.180.001.1x31953%
볼린저 밴드 돌파
n=16, k=3.5
0.6%-19.7%0.160.031.3x61%
Parabolic SAR
step=0.005, maxStep=0.36
-2.3%-94.5%0.10-0.020.3x36952%
MACD
fast=20, slow=61, signal=21
-2.7%-90.4%0.08-0.030.3x44650%
Keltner 채널 돌파
emaPeriod=73, atrPeriod=11, mult=3.1
-1.5%-89.8%0.08-0.020.5x15135%
Buy and hold4.5%-91.2%0.340.057.5x1100%
1x 10x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -23% -46% -68% -91% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -11.0% (1980-09-22 → 1980-09-29), recovered after 18 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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