Trend-Following Backtester · Guide · backtest 한국어
equity · US
Prologis, Inc. backtest
10 trend-following strategies were compared on the full daily history of Prologis, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -85.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 4.8%, MDD -50.0%, Sharpe 0.34, 70% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=85, slow=379 |
4.8% | -50.0% | 0.34 | 0.10 | 3.9x | 17 | 70% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=15, mult=3.1 |
2.9% | -31.1% | 0.29 | 0.09 | 2.3x | 78 | 39% |
| Supertrend period=12, mult=4.8 |
3.5% | -42.7% | 0.28 | 0.08 | 2.7x | 93 | 59% |
| ROC 모멘텀 n=71, threshold=-0.11 |
3.6% | -65.9% | 0.27 | 0.05 | 2.7x | 151 | 89% |
| SMA 크로스오버 fast=58, slow=96 |
2.7% | -58.1% | 0.23 | 0.05 | 2.1x | 85 | 62% |
| Donchian 채널 돌파 entryN=29, exitN=73 |
1.3% | -74.5% | 0.18 | 0.02 | 1.4x | 69 | 76% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.9% | -68.3% | 0.08 | -0.01 | 0.8x | 269 | 58% |
| MACD fast=19, slow=31, signal=23 |
-1.9% | -59.6% | 0.04 | -0.03 | 0.6x | 361 | 50% |
| 볼린저 밴드 돌파 n=52, k=3 |
-0.1% | -33.4% | 0.02 | -0.00 | 1.0x | 30 | 12% |
| ADX / DI 방향성 period=21, threshold=16 |
-1.8% | -56.1% | -0.05 | -0.03 | 0.6x | 270 | 36% |
| Buy and hold | 6.6% | -85.3% | 0.36 | 0.08 | 6.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 85-day EMA crosses above the 379-day EMA
- Sell — Sell when the 85-day EMA falls below the 379-day EMA