Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gaming and Leisure Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gaming and Leisure Properties, Inc.. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.4%, MDD -10.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 0.6%, drawdown -70.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.4%, MDD -10.7%, Sharpe 0.46, 0% exposure.
CAGR reference leader: Supertrend — CAGR 3.5%, MDD -33.8%, exposure 48%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 59.5%p (CAGR 3.4%, MDD -10.7%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=3, threshold=0.11 |
3.4% | -10.7% | 0.46 | 0.32 | 1.5x | 16 | 0% |
| Supertrend period=29, mult=5 |
3.5% | -33.8% | 0.29 | 0.10 | 1.6x | 30 | 48% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=37, mult=2.3 |
1.6% | -22.7% | 0.25 | 0.07 | 1.2x | 40 | 16% |
| Donchian 채널 돌파 entryN=42, exitN=50 |
0.8% | -42.1% | 0.13 | 0.02 | 1.1x | 32 | 48% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
0.4% | -12.4% | 0.13 | 0.03 | 1.1x | 6 | 5% |
| ADX / DI 방향성 period=34, threshold=28 |
0.1% | -3.3% | 0.10 | 0.03 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=57, slow=106 |
-2.0% | -69.9% | 0.03 | -0.03 | 0.8x | 28 | 48% |
| EMA 크로스오버 fast=17, slow=74 |
-1.3% | -53.0% | -0.01 | -0.02 | 0.8x | 48 | 49% |
| MACD fast=15, slow=27, signal=7 |
-5.7% | -62.6% | -0.27 | -0.09 | 0.5x | 245 | 51% |
| Parabolic SAR step=0.015, maxStep=0.28 |
-6.4% | -63.4% | -0.31 | -0.10 | 0.4x | 249 | 52% |
| Buy and hold | 0.6% | -70.2% | 0.17 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 3-day return is greater than 11%
- Sell — Sell when the 3-day return drops to 11% or below