Trend-Following Backtester · Guide · backtest 한국어

equity · US

Arbor Realty Trust backtest

10 trend-following strategies were compared on the full daily history of Arbor Realty Trust. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -12.6%).

Data 2004-04-07 ~ 2026-07-31daily bars 5,614 (22.3 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -6.1%, drawdown -98.3%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -61.9%, Sharpe 0.41, 61% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 1.3%, MDD -12.6%, exposure 3%).

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
Donchian 채널 돌파
entryN=41, exitN=65
8.5%-61.9%0.410.146.1x4461%
Supertrend
period=24, mult=3.6
4.1%-69.3%0.280.062.4x10050%
EMA 크로스오버
fast=36, slow=86
3.6%-61.9%0.270.062.2x5853%
ADX / DI 방향성
period=37, threshold=29
1.3%-12.6%0.260.101.3x63%
ROC 모멘텀
n=9, threshold=0.2
3.4%-54.0%0.260.062.1x722%
볼린저 밴드 돌파
n=42, k=1.2
2.7%-65.2%0.230.041.8x16840%
SMA 크로스오버
fast=41, slow=140
2.3%-68.4%0.220.031.7x4652%
MACD
fast=19, slow=37, signal=10
-0.3%-86.9%0.17-0.000.9x31751%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=10, mult=1.3
-0.1%-68.9%0.13-0.001.0x17640%
Parabolic SAR
step=0.005, maxStep=0.32
-1.3%-92.4%0.12-0.010.7x17049%
Buy and hold-6.1%-98.3%0.13-0.060.2x1100%
0.1 1x 10x 2005 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -49% -74% -98% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -61.9% (2009-05-04 → 2009-07-10), recovered after 409 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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

Read next