Trend-Following Backtester · Guide · backtest 한국어
equity · US
Macerich Company (The) backtest
10 trend-following strategies were compared on the full daily history of Macerich Company (The). 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.2%, MDD -48.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.8%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -64.1%, Sharpe 0.39, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 6.2%, MDD -48.3%, exposure 50%).
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=51, slow=173 |
6.7% | -64.1% | 0.39 | 0.10 | 8.2x | 51 | 57% |
| Donchian 채널 돌파 entryN=68, exitN=55 |
6.2% | -48.3% | 0.38 | 0.13 | 7.0x | 59 | 50% |
| EMA 크로스오버 fast=52, slow=133 |
5.9% | -52.2% | 0.37 | 0.11 | 6.4x | 47 | 60% |
| Supertrend period=10, mult=5 |
4.4% | -68.4% | 0.30 | 0.06 | 4.0x | 99 | 51% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=1.4 |
3.6% | -55.1% | 0.27 | 0.06 | 3.1x | 242 | 41% |
| ROC 모멘텀 n=171, threshold=-0.03 |
3.3% | -64.5% | 0.25 | 0.05 | 2.9x | 203 | 65% |
| MACD fast=21, slow=59, signal=23 |
3.0% | -82.7% | 0.25 | 0.04 | 2.6x | 298 | 53% |
| 볼린저 밴드 돌파 n=41, k=1.7 |
2.4% | -63.4% | 0.22 | 0.04 | 2.1x | 202 | 38% |
| ADX / DI 방향성 period=25, threshold=19 |
2.2% | -48.3% | 0.21 | 0.05 | 2.0x | 148 | 23% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.3% | -80.2% | 0.06 | -0.03 | 0.5x | 570 | 52% |
| Buy and hold | 0.8% | -94.8% | 0.23 | 0.01 | 1.3x | 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 51-day average price crosses above the 173-day average
- Sell — Sell (to cash) when the 51-day average falls below the 173-day average