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.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.1%, 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 3.4%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=37 |
1.4% | -11.0% | 0.39 | 0.12 | 1.9x | 4 | 1% |
| Donchian 채널 돌파 entryN=27, exitN=70 |
3.4% | -86.6% | 0.30 | 0.04 | 4.8x | 115 | 75% |
| EMA 크로스오버 fast=53, slow=106 |
2.5% | -82.1% | 0.27 | 0.03 | 3.2x | 83 | 60% |
| SMA 크로스오버 fast=54, slow=217 |
2.4% | -84.7% | 0.26 | 0.03 | 3.0x | 59 | 58% |
| ROC 모멘텀 n=131, threshold=-0.08 |
1.0% | -84.1% | 0.22 | 0.01 | 1.6x | 287 | 72% |
| Supertrend period=12, mult=3.1 |
-0.0% | -84.4% | 0.17 | -0.00 | 1.0x | 320 | 53% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
0.6% | -19.7% | 0.16 | 0.03 | 1.3x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.5% | -94.5% | 0.09 | -0.03 | 0.3x | 370 | 52% |
| MACD fast=20, slow=61, signal=21 |
-2.9% | -90.4% | 0.08 | -0.03 | 0.3x | 448 | 50% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=11, mult=3.1 |
-1.7% | -89.8% | 0.08 | -0.02 | 0.5x | 152 | 35% |
| Buy and hold | 4.1% | -91.2% | 0.33 | 0.05 | 6.6x | 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, 30-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)