Trend-Following Backtester · Guide · backtest 한국어
equity · US
RLJ Lodging Trust backtest
10 trend-following strategies were compared on the full daily history of RLJ Lodging Trust. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.0%, MDD -8.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -88.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -13.2%, Sharpe 0.30, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -67.0%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 74.9%p (CAGR 1.0%, MDD -8.6%, 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=28, threshold=29 |
1.0% | -13.2% | 0.30 | 0.07 | 1.2x | 4 | 1% |
| SMA 크로스오버 fast=61, slow=82 |
4.0% | -67.0% | 0.28 | 0.06 | 1.8x | 61 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=3.9 |
1.0% | -8.6% | 0.22 | 0.12 | 1.2x | 2 | 1% |
| ROC 모멘텀 n=160, threshold=0.11 |
2.1% | -36.1% | 0.20 | 0.06 | 1.4x | 85 | 24% |
| Donchian 채널 돌파 entryN=109, exitN=43 |
1.3% | -49.4% | 0.16 | 0.03 | 1.2x | 21 | 30% |
| EMA 크로스오버 fast=71, slow=116 |
1.2% | -64.1% | 0.15 | 0.02 | 1.2x | 19 | 44% |
| 볼린저 밴드 돌파 n=36, k=2.3 |
-0.3% | -49.2% | 0.06 | -0.01 | 1.0x | 52 | 19% |
| Supertrend period=27, mult=4.9 |
-2.0% | -53.3% | 0.01 | -0.04 | 0.7x | 44 | 44% |
| MACD fast=16, slow=32, signal=19 |
-3.6% | -70.3% | -0.02 | -0.05 | 0.6x | 194 | 50% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-10.0% | -85.8% | -0.32 | -0.12 | 0.2x | 439 | 54% |
| Buy and hold | -3.1% | -88.2% | 0.11 | -0.03 | 0.6x | 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, 28-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)