Trend-Following Backtester · Guide · backtest 한국어
equity · US
Phillips Edison & Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of Phillips Edison & Company, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 44.4%, drawdown -66.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 41.4%, MDD -66.4%, Sharpe 0.59, 95% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 41.9%, MDD -66.4%, exposure 63%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=45, threshold=-0.12 |
41.4% | -66.4% | 0.59 | 0.62 | 6.5x | 9 | 95% |
| EMA 크로스오버 fast=45, slow=78 |
41.9% | -66.4% | 0.58 | 0.63 | 6.7x | 9 | 63% |
| Donchian 채널 돌파 entryN=21, exitN=70 |
40.8% | -66.4% | 0.58 | 0.61 | 6.4x | 9 | 79% |
| SMA 크로스오버 fast=52, slow=81 |
39.2% | -66.4% | 0.57 | 0.59 | 6.0x | 21 | 55% |
| MACD fast=19, slow=51, signal=16 |
10.7% | -66.4% | 0.42 | 0.16 | 1.7x | 74 | 49% |
| Supertrend period=10, mult=4.9 |
2.7% | -69.4% | 0.31 | 0.04 | 1.2x | 15 | 59% |
| ADX / DI 방향성 period=23, threshold=30 |
1.3% | -67.5% | 0.29 | 0.02 | 1.1x | 6 | 8% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=14, mult=3.3 |
0.9% | -67.5% | 0.29 | 0.01 | 1.0x | 13 | 19% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-1.4% | -73.5% | 0.28 | -0.02 | 0.9x | 72 | 63% |
| 볼린저 밴드 돌파 n=39, k=3 |
-18.3% | -74.4% | -0.37 | -0.25 | 0.3x | 10 | 12% |
| Buy and hold | 44.4% | -66.4% | 0.60 | 0.67 | 7.4x | 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 45-day return is greater than -12%
- Sell — Sell when the 45-day return drops to -12% or below