Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hudson Pacific Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of Hudson Pacific Properties, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.5%, MDD -13.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.7%, drawdown -98.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.5%, MDD -15.0%, Sharpe 0.50, 6% exposure.
CAGR reference leader: Supertrend — CAGR 5.8%, MDD -44.6%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.2%p higher than buy and hold, while drawdown improves by 83.0%p (CAGR 4.5%, MDD -13.9%, exposure 2%).
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=20, k=2.9 |
5.5% | -15.0% | 0.50 | 0.37 | 2.4x | 24 | 6% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=3 |
4.5% | -13.9% | 0.49 | 0.32 | 2.0x | 6 | 2% |
| ADX / DI 방향성 period=15, threshold=35 |
3.9% | -15.9% | 0.45 | 0.25 | 1.9x | 30 | 6% |
| Supertrend period=18, mult=4 |
5.8% | -44.6% | 0.37 | 0.13 | 2.5x | 51 | 50% |
| Donchian 채널 돌파 entryN=58, exitN=17 |
3.0% | -41.0% | 0.27 | 0.07 | 1.6x | 50 | 30% |
| ROC 모멘텀 n=25, threshold=0.1 |
1.9% | -52.3% | 0.19 | 0.04 | 1.3x | 142 | 12% |
| EMA 크로스오버 fast=27, slow=81 |
1.0% | -57.4% | 0.15 | 0.02 | 1.2x | 37 | 46% |
| SMA 크로스오버 fast=6, slow=163 |
0.5% | -60.1% | 0.12 | 0.01 | 1.1x | 51 | 46% |
| MACD fast=23, slow=55, signal=29 |
-1.0% | -77.9% | 0.09 | -0.01 | 0.8x | 132 | 49% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-7.4% | -90.2% | -0.18 | -0.08 | 0.3x | 240 | 49% |
| Buy and hold | -12.7% | -98.0% | -0.13 | -0.13 | 0.1x | 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 20-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 20-day middle average