Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Homes 4 Rent backtest
10 trend-following strategies were compared on the full daily history of American Homes 4 Rent. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -38.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -6.3%, Sharpe 0.52, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -38.5%, exposure 54%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=3.4 |
1.7% | -6.3% | 0.52 | 0.27 | 1.2x | 2 | 3% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=21, mult=3 |
1.0% | -4.4% | 0.41 | 0.22 | 1.1x | 4 | 2% |
| SMA 크로스오버 fast=50, slow=180 |
4.5% | -38.5% | 0.35 | 0.12 | 1.8x | 19 | 54% |
| ADX / DI 방향성 period=39, threshold=21 |
1.3% | -10.6% | 0.30 | 0.12 | 1.2x | 8 | 6% |
| ROC 모멘텀 n=49, threshold=0.19 |
0.8% | -9.8% | 0.24 | 0.08 | 1.1x | 34 | 3% |
| Supertrend period=31, mult=4.8 |
2.4% | -43.3% | 0.23 | 0.06 | 1.4x | 35 | 54% |
| EMA 크로스오버 fast=77, slow=216 |
2.3% | -38.5% | 0.22 | 0.06 | 1.4x | 15 | 57% |
| Donchian 채널 돌파 entryN=95, exitN=34 |
0.8% | -35.5% | 0.13 | 0.02 | 1.1x | 25 | 30% |
| MACD fast=49, slow=71, signal=36 |
-1.0% | -53.2% | 0.00 | -0.02 | 0.9x | 73 | 49% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-8.9% | -72.2% | -0.50 | -0.12 | 0.3x | 192 | 57% |
| Buy and hold | 6.0% | -38.5% | 0.37 | 0.16 | 2.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 49-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 49-day middle average