Trend-Following Backtester · Guide · backtest 한국어
equity · US
Easterly Government Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of Easterly Government Properties, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -3.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR -4.0%, drawdown -72.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.1%, MDD -8.7%, Sharpe 0.34, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.2%, MDD -46.5%, exposure 38%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 64.1%p (CAGR 0.4%, MDD -3.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=20, k=3.1 |
1.1% | -8.7% | 0.34 | 0.12 | 1.1x | 4 | 4% |
| ADX / DI 방향성 period=30, threshold=33 |
0.4% | -3.1% | 0.26 | 0.12 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=58, slow=254 |
1.2% | -46.5% | 0.15 | 0.03 | 1.1x | 9 | 38% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=22, mult=4 |
0.4% | -11.9% | 0.10 | 0.03 | 1.0x | 8 | 7% |
| EMA 크로스오버 fast=40, slow=208 |
-0.4% | -46.3% | 0.05 | -0.01 | 1.0x | 13 | 38% |
| Donchian 채널 돌파 entryN=107, exitN=79 |
-0.6% | -48.7% | 0.02 | -0.01 | 0.9x | 11 | 39% |
| ROC 모멘텀 n=133, threshold=0.23 |
-0.6% | -13.3% | -0.11 | -0.04 | 0.9x | 22 | 4% |
| Supertrend period=26, mult=3.6 |
-4.5% | -58.6% | -0.22 | -0.08 | 0.6x | 53 | 53% |
| MACD fast=14, slow=53, signal=19 |
-5.7% | -55.6% | -0.30 | -0.10 | 0.5x | 134 | 51% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-7.9% | -63.9% | -0.45 | -0.12 | 0.4x | 172 | 51% |
| Buy and hold | -4.0% | -72.7% | -0.05 | -0.06 | 0.6x | 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 20-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 20-day middle average