Trend-Following Backtester · Guide · backtest 한국어
equity · US
Douglas Emmett, Inc. backtest
10 trend-following strategies were compared on the full daily history of Douglas Emmett, 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 0.5%, MDD -12.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.5%, drawdown -79.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.7%, MDD -17.5%, Sharpe 0.13, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 62.3%p (CAGR 0.5%, MDD -12.2%, exposure 3%).
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=17, k=2.8 |
0.7% | -17.5% | 0.13 | 0.04 | 1.1x | 42 | 7% |
| ADX / DI 방향성 period=36, threshold=23 |
0.5% | -12.2% | 0.12 | 0.04 | 1.1x | 10 | 3% |
| EMA 크로스오버 fast=43, slow=237 |
-0.3% | -40.4% | 0.07 | -0.01 | 0.9x | 26 | 55% |
| SMA 크로스오버 fast=52, slow=114 |
-0.9% | -56.6% | 0.05 | -0.02 | 0.8x | 49 | 52% |
| ROC 모멘텀 Hold-like · Exposure 98% n=10, threshold=-0.15 |
-3.8% | -86.6% | 0.05 | -0.04 | 0.5x | 51 | 98% |
| Donchian 채널 돌파 entryN=37, exitN=78 |
-2.9% | -62.4% | -0.01 | -0.05 | 0.6x | 49 | 67% |
| Supertrend period=19, mult=4.2 |
-3.5% | -67.6% | -0.07 | -0.05 | 0.5x | 75 | 49% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=26, mult=2.8 |
-3.0% | -58.1% | -0.19 | -0.05 | 0.5x | 71 | 24% |
| MACD fast=30, slow=45, signal=22 |
-8.5% | -86.9% | -0.24 | -0.10 | 0.2x | 190 | 50% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-10.6% | -91.5% | -0.34 | -0.12 | 0.1x | 448 | 53% |
| Buy and hold | -3.5% | -79.7% | 0.08 | -0.04 | 0.5x | 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 17-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 17-day middle average