Trend-Following Backtester · Guide · backtest 한국어
equity · US
Apple Hospitality REIT, Inc. backtest
10 trend-following strategies were compared on the full daily history of Apple Hospitality REIT, Inc.. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.4%, MDD -8.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.8%, drawdown -76.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.7%, MDD -9.8%, Sharpe 0.64, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 66.8%p (CAGR 1.4%, MDD -8.0%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=137, threshold=0.23 |
5.7% | -9.8% | 0.64 | 0.58 | 1.9x | 27 | 7% |
| ADX / DI 방향성 period=16, threshold=36 |
1.4% | -8.0% | 0.43 | 0.17 | 1.2x | 4 | 3% |
| SMA 크로스오버 fast=44, slow=120 |
1.0% | -43.9% | 0.15 | 0.02 | 1.1x | 35 | 49% |
| Donchian 채널 돌파 entryN=8, exitN=43 |
-0.3% | -48.9% | 0.12 | -0.01 | 1.0x | 51 | 82% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
0.2% | -9.4% | 0.06 | 0.02 | 1.0x | 2 | 2% |
| MACD fast=18, slow=45, signal=18 |
-2.0% | -63.3% | 0.01 | -0.03 | 0.8x | 120 | 49% |
| Supertrend period=26, mult=4.7 |
-2.6% | -55.5% | 0.00 | -0.05 | 0.7x | 35 | 57% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=21, mult=3.7 |
-0.3% | -25.2% | -0.01 | -0.01 | 1.0x | 3 | 2% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-5.2% | -65.7% | -0.12 | -0.08 | 0.5x | 103 | 54% |
| EMA 크로스오버 fast=58, slow=86 |
-3.8% | -55.3% | -0.13 | -0.07 | 0.6x | 37 | 47% |
| Buy and hold | -0.8% | -76.6% | 0.14 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 137-day return is greater than 23%
- Sell — Sell when the 137-day return drops to 23% or below