Trend-Following Backtester · Guide · backtest 한국어
equity · US
Crown Castle Inc. backtest
10 trend-following strategies were compared on the full daily history of Crown Castle Inc.. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.8%, MDD -49.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.6%, drawdown -97.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.8%, MDD -49.7%, Sharpe 0.56, 68% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 11.8%, MDD -49.7%, exposure 68%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=260 |
11.8% | -49.7% | 0.56 | 0.24 | 22.8x | 24 | 68% |
| SMA 크로스오버 fast=39, slow=308 |
11.5% | -50.0% | 0.56 | 0.23 | 21.2x | 32 | 66% |
| ROC 모멘텀 n=198, threshold=-0.09 |
10.5% | -62.8% | 0.50 | 0.17 | 16.5x | 98 | 76% |
| Donchian 채널 돌파 entryN=67, exitN=97 |
8.3% | -74.7% | 0.42 | 0.11 | 9.4x | 40 | 67% |
| ADX / DI 방향성 period=20, threshold=23 |
2.2% | -44.2% | 0.21 | 0.05 | 1.8x | 118 | 18% |
| Supertrend period=10, mult=4.9 |
1.4% | -76.0% | 0.19 | 0.02 | 1.5x | 102 | 57% |
| 볼린저 밴드 돌파 n=54, k=1.5 |
1.6% | -66.2% | 0.18 | 0.02 | 1.5x | 162 | 40% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=2.1 |
0.2% | -58.5% | 0.11 | 0.00 | 1.1x | 156 | 32% |
| MACD fast=15, slow=23, signal=12 |
-2.9% | -81.0% | 0.05 | -0.04 | 0.4x | 463 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-7.6% | -95.8% | -0.13 | -0.08 | 0.1x | 528 | 53% |
| Buy and hold | 6.6% | -97.5% | 0.37 | 0.07 | 6.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 260-day EMA
- Sell — Sell when the 38-day EMA falls below the 260-day EMA