Trend-Following Backtester · Guide · backtest 한국어
equity · US
Americold Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Americold Realty Trust, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.8%, MDD -3.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.7%, drawdown -75.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -3.5%, Sharpe 0.44, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.3%, MDD -44.9%, exposure 72%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 71.8%p (CAGR 0.8%, MDD -3.2%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=35, threshold=26 |
1.0% | -3.5% | 0.44 | 0.29 | 1.1x | 2 | 2% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
0.8% | -3.2% | 0.40 | 0.24 | 1.1x | 2 | 1% |
| Donchian 채널 돌파 entryN=12, exitN=46 |
4.3% | -44.9% | 0.29 | 0.10 | 1.4x | 35 | 72% |
| Supertrend period=29, mult=4.6 |
3.6% | -34.7% | 0.28 | 0.10 | 1.4x | 26 | 55% |
| SMA 크로스오버 fast=34, slow=122 |
0.5% | -43.7% | 0.11 | 0.01 | 1.0x | 17 | 46% |
| EMA 크로스오버 fast=29, slow=44 |
0.0% | -57.6% | 0.10 | 0.00 | 1.0x | 31 | 53% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=16, mult=2.7 |
0.1% | -39.3% | 0.07 | 0.00 | 1.0x | 26 | 34% |
| MACD fast=18, slow=39, signal=15 |
-1.7% | -48.5% | 0.02 | -0.03 | 0.9x | 98 | 48% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-2.6% | -63.5% | -0.02 | -0.04 | 0.8x | 180 | 51% |
| ROC 모멘텀 n=55, threshold=0 |
-3.8% | -66.5% | -0.11 | -0.06 | 0.7x | 98 | 51% |
| Buy and hold | -2.7% | -75.3% | 0.07 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 35-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)