Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ventas, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ventas, Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.4%, MDD -60.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.7%, drawdown -87.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.1%, MDD -65.5%, Sharpe 0.50, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 21.8%p (CAGR 5.4%, MDD -60.1%, exposure 62%).
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=53, slow=147 |
9.1% | -65.5% | 0.50 | 0.14 | 12.8x | 49 | 62% |
| EMA 크로스오버 fast=68, slow=271 |
6.9% | -64.9% | 0.43 | 0.11 | 7.1x | 27 | 61% |
| ROC 모멘텀 n=119, threshold=-0.06 |
6.7% | -74.8% | 0.39 | 0.09 | 6.6x | 131 | 73% |
| Donchian 채널 돌파 entryN=75, exitN=64 |
5.4% | -60.1% | 0.35 | 0.09 | 4.6x | 51 | 62% |
| ADX / DI 방향성 period=43, threshold=20 |
2.1% | -28.5% | 0.33 | 0.07 | 1.8x | 32 | 9% |
| 볼린저 밴드 돌파 n=45, k=2.5 |
1.9% | -55.1% | 0.21 | 0.04 | 1.8x | 84 | 24% |
| Supertrend period=10, mult=5 |
1.5% | -73.7% | 0.18 | 0.02 | 1.5x | 97 | 56% |
| MACD fast=17, slow=45, signal=19 |
1.1% | -66.4% | 0.17 | 0.02 | 1.4x | 311 | 52% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=18, mult=3.7 |
1.0% | -55.5% | 0.15 | 0.02 | 1.4x | 71 | 24% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.7% | -70.4% | 0.10 | -0.01 | 0.8x | 264 | 56% |
| Buy and hold | 4.7% | -87.3% | 0.32 | 0.05 | 3.8x | 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 53-day average price crosses above the 147-day average
- Sell — Sell (to cash) when the 53-day average falls below the 147-day average