Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sunstone Hotel Investors, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sunstone Hotel Investors, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -5.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.7%, drawdown -93.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.9%, MDD -38.4%, Sharpe 0.25, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 55.2%p (CAGR 0.3%, MDD -5.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=289 |
2.9% | -38.4% | 0.25 | 0.08 | 1.9x | 21 | 47% |
| Donchian 채널 돌파 entryN=118, exitN=93 |
1.8% | -50.1% | 0.19 | 0.04 | 1.5x | 19 | 36% |
| ADX / DI 방향성 period=33, threshold=34 |
0.3% | -5.2% | 0.18 | 0.05 | 1.1x | 2 | 1% |
| MACD fast=17, slow=39, signal=27 |
0.3% | -76.4% | 0.17 | 0.00 | 1.1x | 224 | 49% |
| 볼린저 밴드 돌파 n=22, k=3.5 |
0.4% | -5.2% | 0.15 | 0.08 | 1.1x | 2 | 1% |
| Supertrend period=12, mult=4.8 |
-0.2% | -80.9% | 0.11 | -0.00 | 1.0x | 61 | 53% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=21, mult=4 |
0.2% | -5.7% | 0.11 | 0.03 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=41, slow=153 |
-0.5% | -60.6% | 0.07 | -0.01 | 0.9x | 41 | 49% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.6% | -88.5% | 0.07 | -0.03 | 0.6x | 203 | 54% |
| ROC 모멘텀 n=26, threshold=0.14 |
-2.1% | -72.2% | 0.01 | -0.03 | 0.6x | 164 | 8% |
| Buy and hold | -1.7% | -93.6% | 0.19 | -0.02 | 0.7x | 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 52-day average price crosses above the 289-day average
- Sell — Sell (to cash) when the 52-day average falls below the 289-day average