Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gladstone Land Corporation backtest
10 trend-following strategies were compared on the full daily history of Gladstone Land Corporation. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.0%, MDD -15.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.5%, drawdown -80.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.0%, MDD -15.7%, Sharpe 0.52, 10% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 64.8%p (CAGR 5.0%, MDD -15.7%, exposure 10%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=26, mult=3.3 |
5.0% | -15.7% | 0.52 | 0.32 | 1.9x | 18 | 10% |
| Donchian 채널 돌파 entryN=97, exitN=11 |
4.5% | -17.3% | 0.40 | 0.26 | 1.8x | 30 | 17% |
| 볼린저 밴드 돌파 n=31, k=3.1 |
2.3% | -32.6% | 0.27 | 0.07 | 1.4x | 26 | 12% |
| MACD fast=19, slow=59, signal=16 |
2.7% | -44.1% | 0.23 | 0.06 | 1.4x | 127 | 51% |
| SMA 크로스오버 fast=46, slow=284 |
1.7% | -54.6% | 0.19 | 0.03 | 1.3x | 16 | 39% |
| ROC 모멘텀 n=29, threshold=0.14 |
1.2% | -20.7% | 0.16 | 0.06 | 1.2x | 76 | 9% |
| EMA 크로스오버 fast=52, slow=259 |
0.4% | -55.4% | 0.12 | 0.01 | 1.1x | 16 | 39% |
| Supertrend period=23, mult=3.1 |
-0.0% | -59.7% | 0.10 | -0.00 | 1.0x | 68 | 45% |
| ADX / DI 방향성 period=37, threshold=18 |
-0.3% | -40.2% | 0.03 | -0.01 | 1.0x | 30 | 14% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-8.4% | -74.1% | -0.32 | -0.11 | 0.3x | 240 | 51% |
| Buy and hold | -4.5% | -80.6% | -0.01 | -0.06 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 27-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average