Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cousins Properties Incorporated backtest
10 trend-following strategies were compared on the full daily history of Cousins Properties Incorporated. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -86.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.1%, MDD -25.9%, Sharpe 0.27, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.2%, MDD -68.8%, exposure 60%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3.5 |
2.1% | -25.9% | 0.27 | 0.08 | 2.6x | 32 | 8% |
| ADX / DI 방향성 period=33, threshold=37 |
1.6% | -25.0% | 0.27 | 0.06 | 2.1x | 20 | 5% |
| SMA 크로스오버 fast=7, slow=265 |
2.2% | -68.8% | 0.21 | 0.03 | 2.8x | 121 | 60% |
| EMA 크로스오버 fast=9, slow=243 |
2.2% | -61.1% | 0.21 | 0.04 | 2.8x | 115 | 62% |
| Donchian 채널 돌파 entryN=99, exitN=67 |
1.3% | -56.0% | 0.16 | 0.02 | 1.8x | 79 | 51% |
| ROC 모멘텀 n=26, threshold=-0.12 |
0.4% | -96.3% | 0.16 | 0.00 | 1.2x | 245 | 94% |
| Supertrend period=29, mult=4.6 |
1.2% | -87.7% | 0.16 | 0.01 | 1.7x | 152 | 56% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=25, mult=3.7 |
0.9% | -26.6% | 0.15 | 0.03 | 1.5x | 56 | 6% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-0.9% | -92.2% | 0.08 | -0.01 | 0.7x | 374 | 54% |
| MACD fast=24, slow=33, signal=19 |
-2.8% | -96.7% | 0.01 | -0.03 | 0.3x | 508 | 49% |
| Buy and hold | 4.6% | -86.7% | 0.30 | 0.05 | 8.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average