Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pebblebrook Hotel Trust backtest
10 trend-following strategies were compared on the full daily history of Pebblebrook Hotel Trust. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.9%, MDD -7.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.4%, drawdown -87.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -58.3%, Sharpe 0.41, 53% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 0.9%, MDD -7.4%, exposure 0%).
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=24, slow=131 |
6.9% | -58.3% | 0.41 | 0.12 | 3.0x | 31 | 53% |
| EMA 크로스오버 fast=74, slow=146 |
6.1% | -39.1% | 0.40 | 0.16 | 2.7x | 13 | 51% |
| Donchian 채널 돌파 entryN=29, exitN=67 |
5.5% | -64.2% | 0.33 | 0.09 | 2.4x | 35 | 68% |
| ROC 모멘텀 n=146, threshold=0.01 |
4.5% | -60.7% | 0.31 | 0.07 | 2.1x | 125 | 50% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
0.9% | -7.4% | 0.24 | 0.12 | 1.2x | 2 | 0% |
| ADX / DI 방향성 period=19, threshold=36 |
0.8% | -10.8% | 0.22 | 0.07 | 1.1x | 10 | 1% |
| Supertrend period=30, mult=4.1 |
1.7% | -62.0% | 0.19 | 0.03 | 1.3x | 61 | 55% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=22, mult=3.2 |
0.7% | -7.5% | 0.18 | 0.10 | 1.1x | 4 | 1% |
| MACD fast=14, slow=53, signal=12 |
-5.3% | -72.5% | -0.11 | -0.07 | 0.4x | 234 | 48% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-5.9% | -80.3% | -0.14 | -0.07 | 0.4x | 155 | 50% |
| Buy and hold | -0.4% | -87.6% | 0.18 | -0.01 | 0.9x | 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 24-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 24-day average falls below the 131-day average