Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ryman Hospitality Properties, Inc. (REIT) backtest
10 trend-following strategies were compared on the full daily history of Ryman Hospitality Properties, Inc. (REIT). 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -91.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 6.0%, MDD -73.8%, Sharpe 0.35, 82% 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=114, threshold=-0.12 |
6.0% | -73.8% | 0.35 | 0.08 | 7.7x | 189 | 82% |
| Supertrend period=20, mult=3.3 |
4.1% | -66.9% | 0.28 | 0.06 | 4.1x | 239 | 60% |
| Donchian 채널 돌파 entryN=13, exitN=79 |
3.3% | -92.9% | 0.26 | 0.04 | 3.1x | 111 | 85% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=17, mult=3.8 |
2.5% | -32.3% | 0.26 | 0.08 | 2.4x | 64 | 12% |
| SMA 크로스오버 fast=57, slow=143 |
3.0% | -69.4% | 0.24 | 0.04 | 2.8x | 71 | 60% |
| EMA 크로스오버 fast=68, slow=135 |
3.0% | -65.7% | 0.24 | 0.04 | 2.8x | 55 | 62% |
| MACD fast=28, slow=59, signal=23 |
2.8% | -69.3% | 0.24 | 0.04 | 2.6x | 286 | 50% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
1.1% | -25.5% | 0.20 | 0.04 | 1.5x | 16 | 3% |
| ADX / DI 방향성 period=37, threshold=11 |
1.3% | -51.1% | 0.17 | 0.03 | 1.6x | 283 | 39% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-0.2% | -83.5% | 0.13 | -0.00 | 0.9x | 755 | 52% |
| Buy and hold | 7.1% | -91.5% | 0.38 | 0.08 | 10.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 114-day return is greater than -12%
- Sell — Sell when the 114-day return drops to -12% or below