Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Assets Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of American Assets Trust, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -24.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.6%, drawdown -66.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -24.6%, Sharpe 0.49, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 41.7%p (CAGR 6.5%, MDD -24.6%, exposure 52%).
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=45, slow=208 |
6.5% | -24.6% | 0.49 | 0.27 | 2.7x | 19 | 52% |
| EMA 크로스오버 fast=22, slow=201 |
3.6% | -36.0% | 0.31 | 0.10 | 1.7x | 29 | 55% |
| Donchian 채널 돌파 entryN=115, exitN=49 |
3.1% | -27.2% | 0.30 | 0.11 | 1.6x | 23 | 37% |
| ROC 모멘텀 n=52, threshold=-0.04 |
1.5% | -48.1% | 0.18 | 0.03 | 1.3x | 171 | 72% |
| Supertrend period=12, mult=2.5 |
-0.0% | -55.7% | 0.09 | -0.00 | 1.0x | 112 | 54% |
| ADX / DI 방향성 period=30, threshold=24 |
-0.0% | -13.5% | 0.02 | -0.00 | 1.0x | 12 | 6% |
| 볼린저 밴드 돌파 n=18, k=3.1 |
-0.1% | -8.8% | -0.02 | -0.01 | 1.0x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=22, mult=2.3 |
-1.0% | -34.5% | -0.05 | -0.03 | 0.9x | 56 | 15% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.8% | -72.8% | -0.23 | -0.08 | 0.4x | 154 | 53% |
| MACD fast=16, slow=24, signal=12 |
-6.7% | -72.5% | -0.27 | -0.09 | 0.3x | 266 | 50% |
| Buy and hold | 0.6% | -66.3% | 0.17 | 0.01 | 1.1x | 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 45-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 45-day average falls below the 208-day average