Trend-Following Backtester · Guide · backtest 한국어
equity · US
Invitation Homes Inc. backtest
10 trend-following strategies were compared on the full daily history of Invitation Homes Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.2%, drawdown -50.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -9.7%, Sharpe 0.44, 11% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=21 |
2.2% | -9.7% | 0.44 | 0.23 | 1.2x | 12 | 11% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=27, mult=4 |
1.8% | -9.0% | 0.42 | 0.20 | 1.2x | 6 | 8% |
| ROC 모멘텀 n=134, threshold=0.14 |
2.0% | -10.3% | 0.30 | 0.20 | 1.2x | 42 | 18% |
| 볼린저 밴드 돌파 n=74, k=2.4 |
2.0% | -23.4% | 0.28 | 0.09 | 1.2x | 15 | 24% |
| Donchian 채널 돌파 entryN=25, exitN=73 |
1.3% | -43.9% | 0.16 | 0.03 | 1.1x | 19 | 70% |
| EMA 크로스오버 fast=24, slow=86 |
-0.0% | -50.5% | 0.08 | -0.00 | 1.0x | 29 | 61% |
| Supertrend period=21, mult=2.6 |
-0.4% | -46.5% | 0.06 | -0.01 | 1.0x | 73 | 58% |
| SMA 크로스오버 fast=9, slow=180 |
-0.5% | -45.3% | 0.04 | -0.01 | 1.0x | 31 | 55% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.8% | -54.1% | -0.15 | -0.07 | 0.7x | 94 | 58% |
| MACD fast=23, slow=55, signal=18 |
-8.3% | -61.3% | -0.48 | -0.14 | 0.4x | 106 | 49% |
| Buy and hold | 4.2% | -50.5% | 0.29 | 0.08 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)