Trend-Following Backtester · Guide · backtest 한국어
equity · US
Regency Centers Corporation backtest
10 trend-following strategies were compared on the full daily history of Regency Centers Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.8%, MDD -45.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.2%, drawdown -76.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -45.3%, Sharpe 0.37, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 31.0%p (CAGR 4.8%, MDD -45.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=209 |
4.8% | -45.3% | 0.37 | 0.11 | 4.6x | 41 | 60% |
| EMA 크로스오버 fast=73, slow=175 |
4.1% | -45.2% | 0.33 | 0.09 | 3.7x | 37 | 61% |
| Donchian 채널 돌파 entryN=121, exitN=43 |
1.1% | -36.3% | 0.15 | 0.03 | 1.4x | 57 | 39% |
| 볼린저 밴드 돌파 n=58, k=3.3 |
0.2% | -32.2% | 0.07 | 0.01 | 1.1x | 20 | 7% |
| ROC 모멘텀 n=149, threshold=-0.01 |
-0.4% | -71.3% | 0.06 | -0.01 | 0.9x | 311 | 64% |
| Supertrend period=18, mult=2.6 |
-2.5% | -60.3% | -0.02 | -0.04 | 0.4x | 312 | 58% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=7, mult=2.4 |
-1.0% | -54.4% | -0.03 | -0.02 | 0.7x | 154 | 37% |
| ADX / DI 방향성 period=32, threshold=27 |
-0.3% | -25.5% | -0.06 | -0.01 | 0.9x | 18 | 4% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-4.6% | -82.7% | -0.12 | -0.06 | 0.2x | 286 | 56% |
| MACD fast=15, slow=58, signal=16 |
-6.5% | -90.4% | -0.22 | -0.07 | 0.1x | 444 | 51% |
| Buy and hold | 4.2% | -76.3% | 0.29 | 0.06 | 3.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 54-day average falls below the 209-day average