Trend-Following Backtester · Guide · backtest 한국어
equity · US
Medical Properties Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Medical Properties Trust, Inc.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -12.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.0%, drawdown -87.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -12.2%, Sharpe 0.34, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.1%, MDD -53.6%, exposure 42%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 75.1%p (CAGR 1.0%, MDD -12.2%, exposure 1%).
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=34, threshold=33 |
1.0% | -12.2% | 0.34 | 0.08 | 1.2x | 2 | 1% |
| Donchian 채널 돌파 entryN=102, exitN=67 |
2.1% | -53.6% | 0.21 | 0.04 | 1.5x | 26 | 42% |
| SMA 크로스오버 fast=55, slow=177 |
1.1% | -66.4% | 0.17 | 0.02 | 1.3x | 32 | 51% |
| ROC 모멘텀 n=67, threshold=-0.04 |
-1.2% | -68.5% | 0.08 | -0.02 | 0.8x | 180 | 63% |
| EMA 크로스오버 fast=53, slow=60 |
-1.2% | -72.9% | 0.07 | -0.02 | 0.8x | 54 | 53% |
| Supertrend period=14, mult=5 |
-2.3% | -71.1% | 0.02 | -0.03 | 0.6x | 70 | 48% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
-1.9% | -67.9% | 0.01 | -0.03 | 0.7x | 114 | 41% |
| MACD fast=12, slow=54, signal=19 |
-4.2% | -78.8% | -0.01 | -0.05 | 0.4x | 241 | 53% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=24, mult=3.7 |
-0.5% | -31.3% | -0.08 | -0.02 | 0.9x | 10 | 3% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-6.2% | -84.9% | -0.11 | -0.07 | 0.3x | 299 | 53% |
| Buy and hold | -4.0% | -87.3% | 0.10 | -0.05 | 0.4x | 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, 34-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)