Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sun Communities, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sun Communities, 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 5.7%, drawdown -83.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.4%, MDD -50.2%, Sharpe 0.28, 61% 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=54, slow=209 |
3.4% | -50.2% | 0.28 | 0.07 | 3.0x | 46 | 61% |
| SMA 크로스오버 fast=51, slow=193 |
3.1% | -56.8% | 0.26 | 0.06 | 2.7x | 52 | 60% |
| Donchian 채널 돌파 entryN=116, exitN=79 |
2.1% | -67.0% | 0.21 | 0.03 | 1.9x | 44 | 51% |
| ROC 모멘텀 n=16, threshold=-0.07 |
0.7% | -75.0% | 0.15 | 0.01 | 1.3x | 273 | 92% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=22, mult=2.8 |
0.9% | -39.5% | 0.14 | 0.02 | 1.3x | 106 | 21% |
| Supertrend period=25, mult=5 |
0.4% | -72.7% | 0.11 | 0.01 | 1.1x | 102 | 55% |
| ADX / DI 방향성 period=26, threshold=37 |
0.1% | -12.6% | 0.06 | 0.01 | 1.0x | 6 | 1% |
| Parabolic SAR step=0.005, maxStep=0.06 |
-1.0% | -71.3% | 0.04 | -0.01 | 0.7x | 269 | 55% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
0.1% | -15.3% | 0.04 | 0.00 | 1.0x | 14 | 1% |
| MACD fast=17, slow=54, signal=15 |
-3.3% | -84.4% | -0.10 | -0.04 | 0.3x | 401 | 51% |
| Buy and hold | 5.7% | -83.6% | 0.34 | 0.07 | 6.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 54-day EMA crosses above the 209-day EMA
- Sell — Sell when the 54-day EMA falls below the 209-day EMA