Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alexander's, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alexander's, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.9%, MDD -52.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -88.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -52.1%, Sharpe 0.43, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 7.9%, MDD -52.1%, exposure 55%).
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=33, slow=170 |
7.9% | -52.1% | 0.43 | 0.15 | 58.1x | 101 | 55% |
| ADX / DI 방향성 period=25, threshold=25 |
4.4% | -49.2% | 0.36 | 0.09 | 10.0x | 140 | 18% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=14, mult=4 |
5.2% | -54.1% | 0.36 | 0.10 | 14.7x | 148 | 28% |
| Donchian 채널 돌파 entryN=77, exitN=58 |
6.0% | -61.1% | 0.35 | 0.10 | 22.0x | 99 | 52% |
| EMA 크로스오버 fast=54, slow=108 |
5.7% | -73.9% | 0.34 | 0.08 | 19.1x | 107 | 56% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
4.0% | -41.3% | 0.33 | 0.10 | 8.2x | 74 | 14% |
| Supertrend period=28, mult=5 |
3.9% | -93.3% | 0.27 | 0.04 | 7.7x | 237 | 56% |
| ROC 모멘텀 n=183, threshold=-0.04 |
2.6% | -92.2% | 0.23 | 0.03 | 3.9x | 359 | 63% |
| MACD fast=14, slow=41, signal=13 |
0.3% | -84.7% | 0.15 | 0.00 | 1.2x | 732 | 48% |
| Parabolic SAR step=0.03, maxStep=0.3 |
0.2% | -95.8% | 0.14 | 0.00 | 1.1x | 1238 | 49% |
| Buy and hold | 7.0% | -88.8% | 0.37 | 0.08 | 37.6x | 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 33-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 33-day average falls below the 170-day average