Trend-Following Backtester · Guide · backtest 한국어
equity · US
Welltower Inc. backtest
10 trend-following strategies were compared on the full daily history of Welltower Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -35.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.0%, drawdown -64.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -35.1%, Sharpe 0.53, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 8.0%, MDD -35.1%, exposure 60%).
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=57, slow=90 |
8.0% | -35.1% | 0.53 | 0.23 | 36.1x | 127 | 60% |
| Donchian 채널 돌파 entryN=97, exitN=79 |
6.3% | -44.2% | 0.44 | 0.14 | 17.3x | 57 | 57% |
| EMA 크로스오버 fast=57, slow=187 |
5.4% | -51.5% | 0.38 | 0.10 | 11.4x | 57 | 67% |
| Supertrend period=8, mult=4.8 |
3.4% | -60.0% | 0.28 | 0.06 | 4.7x | 139 | 56% |
| ROC 모멘텀 n=121, threshold=-0.04 |
1.8% | -70.7% | 0.19 | 0.03 | 2.3x | 365 | 73% |
| 볼린저 밴드 돌파 n=87, k=2.3 |
1.5% | -38.6% | 0.18 | 0.04 | 2.0x | 115 | 34% |
| ADX / DI 방향성 period=34, threshold=34 |
0.7% | -17.6% | 0.18 | 0.04 | 1.4x | 8 | 7% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.7% | -51.1% | 0.13 | 0.01 | 1.4x | 365 | 55% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=11, mult=2 |
-0.1% | -61.0% | 0.06 | -0.00 | 1.0x | 251 | 40% |
| MACD fast=17, slow=37, signal=18 |
-3.0% | -90.2% | -0.07 | -0.03 | 0.2x | 547 | 50% |
| Buy and hold | 8.0% | -64.1% | 0.42 | 0.13 | 35.9x | 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 57-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 57-day average falls below the 90-day average