Trend-Following Backtester · Guide · backtest 한국어
equity · US
Mid-America Apartment Communities, Inc. backtest
10 trend-following strategies were compared on the full daily history of Mid-America Apartment Communities, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.7%, MDD -42.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.7%, drawdown -65.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.7%, MDD -42.7%, Sharpe 0.35, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 22.4%p (CAGR 4.7%, MDD -42.7%, exposure 59%).
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=48, slow=186 |
4.7% | -42.7% | 0.35 | 0.11 | 4.4x | 45 | 59% |
| EMA 크로스오버 fast=58, slow=203 |
3.9% | -42.7% | 0.31 | 0.09 | 3.5x | 34 | 61% |
| Donchian 채널 돌파 entryN=44, exitN=78 |
2.0% | -52.9% | 0.20 | 0.04 | 1.9x | 65 | 69% |
| Supertrend period=27, mult=5 |
0.3% | -56.0% | 0.10 | 0.01 | 1.1x | 97 | 62% |
| ROC 모멘텀 n=135, threshold=0 |
-0.7% | -60.3% | 0.04 | -0.01 | 0.8x | 268 | 59% |
| ADX / DI 방향성 period=43, threshold=31 |
0.0% | -5.1% | 0.04 | 0.01 | 1.0x | 4 | 0% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
-0.1% | -18.0% | 0.00 | -0.01 | 1.0x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=22, mult=3.6 |
-0.6% | -47.9% | -0.01 | -0.01 | 0.8x | 84 | 28% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-4.4% | -79.3% | -0.15 | -0.06 | 0.2x | 290 | 55% |
| MACD fast=19, slow=22, signal=19 |
-7.5% | -92.5% | -0.33 | -0.08 | 0.1x | 472 | 50% |
| Buy and hold | 5.7% | -65.1% | 0.34 | 0.09 | 6.1x | 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 48-day average price crosses above the 186-day average
- Sell — Sell (to cash) when the 48-day average falls below the 186-day average