Trend-Following Backtester · Guide · backtest 한국어
equity · US
Equity Lifestyle Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of Equity Lifestyle Properties, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -59.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.4%, MDD -59.9%, Sharpe 0.43, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
8.4% | -59.9% | 0.43 | 0.14 | 14.6x | 9 | 100% |
| SMA 크로스오버 fast=49, slow=187 |
5.0% | -47.4% | 0.35 | 0.11 | 5.1x | 53 | 64% |
| EMA 크로스오버 fast=108, slow=349 |
4.8% | -47.4% | 0.34 | 0.10 | 4.8x | 27 | 69% |
| Donchian 채널 돌파 entryN=115, exitN=76 |
2.5% | -59.7% | 0.23 | 0.04 | 2.3x | 44 | 55% |
| Supertrend period=16, mult=3.7 |
0.7% | -49.6% | 0.14 | 0.01 | 1.3x | 159 | 60% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=9, mult=3.7 |
0.2% | -11.7% | 0.09 | 0.02 | 1.1x | 8 | 1% |
| 볼린저 밴드 돌파 n=29, k=3.4 |
0.1% | -18.8% | 0.06 | 0.01 | 1.1x | 22 | 4% |
| Parabolic SAR step=0.015, maxStep=0.02 |
-1.0% | -54.8% | 0.04 | -0.02 | 0.7x | 217 | 62% |
| ADX / DI 방향성 period=32, threshold=22 |
-0.6% | -35.3% | -0.07 | -0.02 | 0.8x | 56 | 9% |
| MACD fast=17, slow=49, signal=19 |
-6.3% | -91.4% | -0.27 | -0.07 | 0.1x | 395 | 53% |
| Buy and hold | 9.1% | -59.9% | 0.45 | 0.15 | 18.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -15%
- Sell — Sell when the 1-day return drops to -15% or below