Trend-Following Backtester · Guide · backtest 한국어
equity · US
COPT Defense Properties backtest
10 trend-following strategies were compared on the full daily history of COPT Defense Properties. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -70.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -62.9%, Sharpe 0.26, 56% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=211 |
3.4% | -62.9% | 0.26 | 0.05 | 3.1x | 53 | 56% |
| EMA 크로스오버 fast=79, slow=214 |
3.2% | -72.1% | 0.25 | 0.04 | 3.0x | 39 | 55% |
| Donchian 채널 돌파 entryN=96, exitN=130 |
2.7% | -67.5% | 0.23 | 0.04 | 2.5x | 39 | 62% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=21, mult=4 |
0.7% | -30.3% | 0.13 | 0.02 | 1.3x | 15 | 4% |
| Supertrend period=25, mult=4.7 |
-0.3% | -72.9% | 0.12 | -0.00 | 0.9x | 97 | 58% |
| ADX / DI 방향성 period=35, threshold=14 |
0.4% | -54.7% | 0.10 | 0.01 | 1.1x | 141 | 24% |
| 볼린저 밴드 돌파 n=44, k=2.9 |
0.2% | -41.4% | 0.08 | 0.00 | 1.1x | 51 | 11% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-7.1% | -94.7% | -0.12 | -0.07 | 0.1x | 325 | 54% |
| ROC 모멘텀 n=168, threshold=0.1 |
-5.0% | -89.4% | -0.18 | -0.06 | 0.2x | 339 | 35% |
| MACD fast=19, slow=48, signal=16 |
-21.3% | -100.0% | -0.66 | -0.21 | 0.0x | 525 | 51% |
| Buy and hold | 4.0% | -70.6% | 0.30 | 0.06 | 3.9x | 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 49-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 49-day average falls below the 211-day average