Trend-Following Backtester · Guide · backtest 한국어
equity · US
Federal Realty Investment Trust backtest
10 trend-following strategies were compared on the full daily history of Federal Realty Investment Trust. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -41.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.8%, drawdown -61.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -41.4%, Sharpe 0.45, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 20.0%p (CAGR 6.5%, MDD -41.4%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=207 |
6.5% | -41.4% | 0.45 | 0.16 | 28.4x | 57 | 65% |
| EMA 크로스오버 fast=59, slow=163 |
5.1% | -57.3% | 0.37 | 0.09 | 14.3x | 69 | 65% |
| ADX / DI 방향성 period=26, threshold=41 |
0.4% | -5.7% | 0.25 | 0.07 | 1.3x | 2 | 1% |
| Donchian 채널 돌파 entryN=93, exitN=61 |
2.8% | -54.5% | 0.25 | 0.05 | 4.3x | 81 | 53% |
| ROC 모멘텀 n=130, threshold=-0.03 |
1.7% | -70.3% | 0.18 | 0.02 | 2.5x | 413 | 71% |
| Supertrend period=20, mult=5 |
-0.1% | -66.8% | 0.08 | -0.00 | 1.0x | 172 | 61% |
| 볼린저 밴드 돌파 n=73, k=1.4 |
-1.9% | -81.3% | -0.05 | -0.02 | 0.4x | 264 | 45% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-3.5% | -89.6% | -0.10 | -0.04 | 0.2x | 418 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=2 |
-3.8% | -92.5% | -0.19 | -0.04 | 0.1x | 324 | 42% |
| MACD fast=19, slow=57, signal=18 |
-6.0% | -98.2% | -0.24 | -0.06 | 0.0x | 660 | 51% |
| Buy and hold | 6.8% | -61.4% | 0.38 | 0.11 | 34.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 58-day average falls below the 207-day average