Trend-Following Backtester · Guide · backtest 한국어
equity · US
Acadia Realty Trust backtest
10 trend-following strategies were compared on the full daily history of Acadia Realty Trust. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.1%, MDD -30.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 0.4%, drawdown -77.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -30.3%, Sharpe 0.46, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 7.1%, MDD -30.3%, exposure 56%).
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=59, slow=195 |
7.1% | -30.3% | 0.46 | 0.23 | 9.7x | 37 | 56% |
| EMA 크로스오버 fast=56, slow=164 |
3.8% | -45.0% | 0.30 | 0.08 | 3.4x | 39 | 55% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
1.9% | -33.4% | 0.28 | 0.06 | 1.9x | 22 | 10% |
| Donchian 채널 돌파 entryN=82, exitN=105 |
2.4% | -49.1% | 0.22 | 0.05 | 2.2x | 39 | 64% |
| Supertrend period=21, mult=5 |
1.3% | -53.2% | 0.17 | 0.02 | 1.5x | 75 | 57% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=18, mult=4 |
0.9% | -42.8% | 0.15 | 0.02 | 1.4x | 46 | 13% |
| ADX / DI 방향성 period=27, threshold=34 |
0.3% | -13.1% | 0.12 | 0.02 | 1.1x | 6 | 2% |
| ROC 모멘텀 n=138, threshold=-0.04 |
-1.7% | -74.9% | 0.02 | -0.02 | 0.6x | 329 | 65% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.4% | -90.4% | -0.20 | -0.07 | 0.1x | 555 | 50% |
| MACD fast=24, slow=26, signal=21 |
-9.1% | -95.9% | -0.34 | -0.09 | 0.0x | 437 | 49% |
| Buy and hold | 0.4% | -77.9% | 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 59-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 59-day average falls below the 195-day average