Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Tower Corporation (REIT) backtest
10 trend-following strategies were compared on the full daily history of American Tower Corporation (REIT). 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 10.8%, MDD -43.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 8.4%, drawdown -98.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -50.0%, Sharpe 0.55, 61% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.5%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 10.8%, MDD -43.3%, exposure 66%).
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=36, slow=128 |
10.9% | -50.0% | 0.55 | 0.22 | 18.9x | 60 | 61% |
| EMA 크로스오버 fast=35, slow=175 |
10.8% | -43.3% | 0.55 | 0.25 | 18.7x | 40 | 66% |
| ROC 모멘텀 n=70, threshold=-0.11 |
10.8% | -74.6% | 0.49 | 0.14 | 18.4x | 175 | 84% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=17, mult=4 |
6.8% | -34.4% | 0.48 | 0.20 | 6.6x | 56 | 22% |
| Supertrend period=10, mult=5 |
9.0% | -82.9% | 0.45 | 0.11 | 11.5x | 84 | 56% |
| Donchian 채널 돌파 entryN=86, exitN=61 |
7.6% | -53.1% | 0.42 | 0.14 | 7.9x | 46 | 57% |
| ADX / DI 방향성 period=36, threshold=13 |
6.5% | -48.2% | 0.42 | 0.13 | 6.0x | 160 | 30% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
5.9% | -38.4% | 0.38 | 0.15 | 5.1x | 124 | 41% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-0.8% | -80.8% | 0.11 | -0.01 | 0.8x | 409 | 55% |
| MACD fast=14, slow=36, signal=6 |
-6.8% | -91.0% | -0.09 | -0.07 | 0.1x | 623 | 50% |
| Buy and hold | 8.4% | -98.7% | 0.40 | 0.09 | 9.9x | 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 36-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 36-day average falls below the 128-day average