Trend-Following Backtester · Guide · backtest 한국어
equity · US
Service Properties Trust backtest
10 trend-following strategies were compared on the full daily history of Service Properties Trust. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -9.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -8.5%, drawdown -97.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.4%, MDD -9.3%, Sharpe 0.19, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 0.8%, MDD -59.8%, exposure 46%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 88.4%p (CAGR 0.4%, MDD -9.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=28, threshold=35 |
0.4% | -9.3% | 0.19 | 0.05 | 1.1x | 8 | 2% |
| SMA 크로스오버 fast=46, slow=207 |
0.8% | -59.8% | 0.13 | 0.01 | 1.3x | 44 | 46% |
| EMA 크로스오버 fast=41, slow=202 |
0.2% | -55.9% | 0.10 | 0.00 | 1.1x | 44 | 46% |
| ROC 모멘텀 n=9, threshold=0.23 |
0.0% | -38.3% | 0.05 | 0.00 | 1.0x | 46 | 1% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=23, mult=2.6 |
-0.3% | -62.9% | 0.05 | -0.01 | 0.9x | 94 | 21% |
| 볼린저 밴드 돌파 n=38, k=2.1 |
-0.8% | -64.3% | 0.04 | -0.01 | 0.8x | 124 | 24% |
| Donchian 채널 돌파 entryN=30, exitN=54 |
-3.4% | -84.1% | 0.02 | -0.04 | 0.3x | 89 | 62% |
| MACD fast=16, slow=31, signal=9 |
-4.4% | -87.9% | -0.00 | -0.05 | 0.2x | 524 | 51% |
| Supertrend period=26, mult=2.7 |
-6.3% | -90.2% | -0.10 | -0.07 | 0.1x | 239 | 53% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-8.7% | -95.3% | -0.19 | -0.09 | 0.1x | 468 | 53% |
| Buy and hold | -8.5% | -97.7% | 0.00 | -0.09 | 0.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 28-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)