Trend-Following Backtester · Guide · backtest 한국어
equity · US
Diversified Healthcare Trust backtest
10 trend-following strategies were compared on the full daily history of Diversified Healthcare Trust. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.5%, MDD -61.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.2%, drawdown -97.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -68.0%, Sharpe 0.40, 51% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 29.8%p (CAGR 2.5%, MDD -61.8%, exposure 30%).
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=77, slow=169 |
7.7% | -68.0% | 0.40 | 0.11 | 7.1x | 47 | 51% |
| Donchian 채널 돌파 entryN=48, exitN=56 |
6.0% | -69.5% | 0.34 | 0.09 | 4.7x | 55 | 55% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=2.5 |
4.3% | -71.3% | 0.29 | 0.06 | 3.1x | 87 | 32% |
| Supertrend period=23, mult=3.1 |
3.0% | -83.0% | 0.25 | 0.04 | 2.2x | 155 | 53% |
| ROC 모멘텀 n=95, threshold=0.12 |
3.2% | -69.9% | 0.25 | 0.05 | 2.3x | 219 | 30% |
| MACD fast=19, slow=89, signal=13 |
2.0% | -88.6% | 0.23 | 0.02 | 1.7x | 288 | 53% |
| ADX / DI 방향성 period=39, threshold=16 |
2.6% | -67.8% | 0.22 | 0.04 | 2.0x | 88 | 17% |
| 볼린저 밴드 돌파 n=52, k=2.3 |
2.5% | -61.8% | 0.22 | 0.04 | 1.9x | 94 | 30% |
| EMA 크로스오버 fast=59, slow=195 |
0.8% | -85.4% | 0.16 | 0.01 | 1.2x | 43 | 49% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-0.4% | -87.6% | 0.15 | -0.00 | 0.9x | 230 | 51% |
| Buy and hold | 0.2% | -97.9% | 0.25 | 0.00 | 1.1x | 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 77-day average price crosses above the 169-day average
- Sell — Sell (to cash) when the 77-day average falls below the 169-day average