Trend-Following Backtester · Guide · backtest 한국어
equity · US
Farmland Partners Inc. backtest
10 trend-following strategies were compared on the full daily history of Farmland Partners Inc.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.4%, MDD -20.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.9%, drawdown -67.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.4%, MDD -20.9%, Sharpe 0.40, 4% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.3%, MDD -22.6%, exposure 10%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 46.9%p (CAGR 3.4%, MDD -20.9%, exposure 4%).
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=45, k=3.5 |
3.4% | -20.9% | 0.40 | 0.16 | 1.5x | 4 | 4% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=15, mult=3.1 |
4.3% | -22.6% | 0.39 | 0.19 | 1.7x | 18 | 10% |
| ROC 모멘텀 n=116, threshold=0.29 |
2.0% | -27.6% | 0.24 | 0.07 | 1.3x | 14 | 5% |
| ADX / DI 방향성 period=38, threshold=24 |
1.5% | -27.6% | 0.20 | 0.05 | 1.2x | 6 | 3% |
| Donchian 채널 돌파 entryN=154, exitN=66 |
-1.2% | -45.2% | 0.01 | -0.03 | 0.9x | 12 | 23% |
| SMA 크로스오버 fast=21, slow=179 |
-4.3% | -55.7% | -0.05 | -0.08 | 0.6x | 32 | 42% |
| MACD fast=12, slow=48, signal=13 |
-4.1% | -61.2% | -0.08 | -0.07 | 0.6x | 175 | 51% |
| Parabolic SAR step=0.02, maxStep=0.18 |
-7.4% | -70.4% | -0.22 | -0.10 | 0.4x | 265 | 51% |
| Supertrend period=18, mult=3.6 |
-9.0% | -74.4% | -0.25 | -0.12 | 0.3x | 61 | 50% |
| EMA 크로스오버 fast=49, slow=107 |
-9.0% | -72.0% | -0.27 | -0.13 | 0.3x | 36 | 42% |
| Buy and hold | -1.9% | -67.8% | 0.12 | -0.03 | 0.8x | 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 45-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 45-day middle average