Trend-Following Backtester · Guide · backtest 한국어
equity · US
Phillips Edison & Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Phillips Edison & Company, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 41.2%, drawdown -66.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 38.2%, MDD -66.4%, Sharpe 0.57, 95% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 38.7%, MDD -66.4%, exposure 64%.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=45, threshold=-0.12 |
38.2% | -66.4% | 0.57 | 0.58 | 5.9x | 9 | 95% |
| EMA 크로스오버 fast=45, slow=78 |
38.7% | -66.4% | 0.57 | 0.58 | 6.1x | 9 | 64% |
| Donchian 채널 돌파 entryN=21, exitN=70 |
37.7% | -66.4% | 0.57 | 0.57 | 5.8x | 9 | 79% |
| SMA 크로스오버 fast=52, slow=81 |
36.1% | -66.4% | 0.55 | 0.54 | 5.5x | 21 | 56% |
| MACD fast=19, slow=51, signal=16 |
10.6% | -66.4% | 0.42 | 0.16 | 1.7x | 74 | 48% |
| Supertrend period=10, mult=4.9 |
1.5% | -69.4% | 0.30 | 0.02 | 1.1x | 16 | 58% |
| ADX / DI 방향성 period=23, threshold=30 |
1.3% | -67.5% | 0.29 | 0.02 | 1.1x | 6 | 8% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=14, mult=3.3 |
0.6% | -67.5% | 0.28 | 0.01 | 1.0x | 14 | 19% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-1.4% | -73.5% | 0.28 | -0.02 | 0.9x | 72 | 62% |
| 볼린저 밴드 돌파 n=39, k=3 |
-18.0% | -74.4% | -0.37 | -0.24 | 0.3x | 10 | 12% |
| Buy and hold | 41.2% | -66.4% | 0.58 | 0.62 | 6.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 45-day return is greater than -12%
- Sell — Sell when the 45-day return drops to -12% or below