Trend-Following Backtester · Guide · backtest 한국어
equity · US
Highwoods Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of Highwoods Properties, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 1.1%, drawdown -68.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.2%, MDD -56.6%, Sharpe 0.10, 54% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=50, exitN=51 |
0.2% | -56.6% | 0.10 | 0.00 | 1.1x | 83 | 54% |
| Supertrend period=9, mult=4.9 |
-0.1% | -58.8% | 0.09 | -0.00 | 1.0x | 99 | 51% |
| EMA 크로스오버 fast=18, slow=62 |
-0.6% | -72.1% | 0.06 | -0.01 | 0.8x | 137 | 55% |
| 볼린저 밴드 돌파 n=45, k=2.8 |
0.1% | -44.4% | 0.05 | 0.00 | 1.0x | 50 | 13% |
| SMA 크로스오버 fast=43, slow=145 |
-0.8% | -68.1% | 0.05 | -0.01 | 0.8x | 65 | 55% |
| ROC 모멘텀 n=89, threshold=-0.1 |
-2.1% | -76.2% | 0.01 | -0.03 | 0.5x | 223 | 80% |
| ADX / DI 방향성 period=27, threshold=31 |
-0.1% | -10.7% | -0.02 | -0.01 | 1.0x | 12 | 2% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=20, mult=3.3 |
-0.3% | -24.7% | -0.04 | -0.01 | 0.9x | 40 | 6% |
| MACD fast=20, slow=26, signal=19 |
-3.5% | -85.9% | -0.05 | -0.04 | 0.3x | 388 | 50% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-4.3% | -85.6% | -0.09 | -0.05 | 0.2x | 462 | 53% |
| Buy and hold | 1.1% | -68.5% | 0.20 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 50 days
- Sell — Sell when price breaks below the lowest low of the last 51 days