Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sabra Health Care REIT, Inc. backtest
10 trend-following strategies were compared on the full daily history of Sabra Health Care REIT, Inc.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.4%, MDD -71.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.1%, drawdown -99.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.2%, MDD -71.6%, Sharpe 0.53, 4% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 14.4%, MDD -71.6%, exposure 21%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 18.3%p higher than buy and hold, while drawdown improves by 27.9%p (CAGR 14.4%, MDD -71.6%, exposure 21%).
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=24, threshold=0.26 |
14.2% | -71.6% | 0.53 | 0.20 | 25.5x | 74 | 4% |
| ADX / DI 방향성 period=28, threshold=17 |
14.4% | -71.6% | 0.53 | 0.20 | 26.7x | 106 | 21% |
| Supertrend period=22, mult=4.1 |
13.5% | -78.1% | 0.50 | 0.17 | 22.2x | 82 | 55% |
| SMA 크로스오버 fast=16, slow=127 |
10.2% | -78.6% | 0.46 | 0.13 | 10.8x | 65 | 52% |
| Donchian 채널 돌파 entryN=19, exitN=39 |
12.1% | -72.8% | 0.46 | 0.17 | 16.2x | 91 | 66% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
9.3% | -71.6% | 0.44 | 0.13 | 8.8x | 16 | 7% |
| EMA 크로스오버 fast=21, slow=46 |
7.0% | -79.6% | 0.36 | 0.09 | 5.2x | 99 | 53% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=26, mult=4 |
4.9% | -71.8% | 0.30 | 0.07 | 3.2x | 44 | 16% |
| MACD fast=17, slow=69, signal=18 |
-5.4% | -97.9% | 0.16 | -0.06 | 0.3x | 248 | 55% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-2.4% | -87.3% | 0.13 | -0.03 | 0.6x | 683 | 51% |
| Buy and hold | -4.1% | -99.5% | 0.24 | -0.04 | 0.4x | 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 24-day return is greater than 26%
- Sell — Sell when the 24-day return drops to 26% or below