Trend-Following Backtester · Guide · backtest 한국어
equity · US
Empire State Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Empire State Realty Trust, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.4%, MDD -8.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -7.9%, drawdown -79.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.1%, MDD -18.3%, Sharpe 0.46, 5% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 61.2%p (CAGR 2.4%, MDD -8.2%, exposure 0%).
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=22, k=3.3 |
3.1% | -18.3% | 0.46 | 0.17 | 1.5x | 8 | 5% |
| ROC 모멘텀 n=12, threshold=0.22 |
2.4% | -8.2% | 0.45 | 0.29 | 1.4x | 4 | 0% |
| ADX / DI 방향성 period=13, threshold=34 |
2.0% | -13.2% | 0.31 | 0.15 | 1.3x | 18 | 6% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=3.4 |
1.7% | -8.2% | 0.30 | 0.21 | 1.2x | 2 | 1% |
| SMA 크로스오버 fast=8, slow=182 |
1.7% | -30.7% | 0.18 | 0.05 | 1.2x | 26 | 37% |
| EMA 크로스오버 fast=18, slow=129 |
1.3% | -38.6% | 0.16 | 0.03 | 1.2x | 28 | 38% |
| Donchian 채널 돌파 entryN=71, exitN=25 |
1.1% | -33.2% | 0.15 | 0.03 | 1.1x | 26 | 23% |
| Supertrend period=16, mult=4.8 |
-0.9% | -43.5% | 0.04 | -0.02 | 0.9x | 30 | 45% |
| MACD fast=23, slow=46, signal=20 |
-8.1% | -75.0% | -0.28 | -0.11 | 0.3x | 124 | 47% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-10.0% | -78.7% | -0.42 | -0.13 | 0.3x | 118 | 48% |
| Buy and hold | -7.9% | -79.6% | -0.09 | -0.10 | 0.3x | 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 22-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average