Trend-Following Backtester · Guide · backtest 한국어
equity · US
SL Green Realty Corp backtest
10 trend-following strategies were compared on the full daily history of SL Green Realty Corp. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.0%, MDD -46.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 2.4%, drawdown -94.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.5%, MDD -64.0%, Sharpe 0.58, 57% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 3.0%, MDD -46.4%, exposure 26%).
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=22, slow=207 |
10.5% | -64.0% | 0.58 | 0.16 | 17.9x | 35 | 57% |
| Donchian 채널 돌파 entryN=133, exitN=92 |
8.3% | -67.7% | 0.51 | 0.12 | 10.0x | 27 | 48% |
| EMA 크로스오버 fast=30, slow=174 |
8.5% | -54.5% | 0.50 | 0.16 | 10.8x | 39 | 58% |
| ADX / DI 방향성 period=35, threshold=14 |
5.8% | -48.6% | 0.40 | 0.12 | 5.2x | 133 | 33% |
| ROC 모멘텀 n=121, threshold=0.06 |
6.0% | -59.9% | 0.38 | 0.10 | 5.4x | 269 | 46% |
| Supertrend period=16, mult=5 |
6.5% | -54.5% | 0.38 | 0.12 | 6.2x | 85 | 58% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=19, mult=4 |
3.0% | -46.4% | 0.28 | 0.07 | 2.4x | 59 | 26% |
| 볼린저 밴드 돌파 n=50, k=2.4 |
1.6% | -60.2% | 0.18 | 0.03 | 1.6x | 81 | 25% |
| MACD fast=12, slow=22, signal=13 |
-3.7% | -79.0% | 0.02 | -0.05 | 0.3x | 513 | 51% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-3.9% | -89.9% | 0.01 | -0.04 | 0.3x | 405 | 55% |
| Buy and hold | 2.4% | -94.4% | 0.27 | 0.03 | 2.0x | 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 22-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 22-day average falls below the 207-day average