Trend-Following Backtester · Guide · backtest 한국어
equity · US
Arbor Realty Trust backtest
10 trend-following strategies were compared on the full daily history of Arbor Realty Trust. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.3%, MDD -12.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.1%, drawdown -98.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.5%, MDD -61.9%, Sharpe 0.41, 61% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.6%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 1.3%, MDD -12.6%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=41, exitN=65 |
8.5% | -61.9% | 0.41 | 0.14 | 6.1x | 44 | 61% |
| Supertrend period=24, mult=3.6 |
4.1% | -69.3% | 0.28 | 0.06 | 2.4x | 100 | 50% |
| EMA 크로스오버 fast=36, slow=86 |
3.6% | -61.9% | 0.27 | 0.06 | 2.2x | 58 | 53% |
| ADX / DI 방향성 period=37, threshold=29 |
1.3% | -12.6% | 0.26 | 0.10 | 1.3x | 6 | 3% |
| ROC 모멘텀 n=9, threshold=0.2 |
3.4% | -54.0% | 0.26 | 0.06 | 2.1x | 72 | 2% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
2.7% | -65.2% | 0.23 | 0.04 | 1.8x | 168 | 40% |
| SMA 크로스오버 fast=41, slow=140 |
2.3% | -68.4% | 0.22 | 0.03 | 1.7x | 46 | 52% |
| MACD fast=19, slow=37, signal=10 |
-0.3% | -86.9% | 0.17 | -0.00 | 0.9x | 317 | 51% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=10, mult=1.3 |
-0.1% | -68.9% | 0.13 | -0.00 | 1.0x | 176 | 40% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.3% | -92.4% | 0.12 | -0.01 | 0.7x | 170 | 49% |
| Buy and hold | -6.1% | -98.3% | 0.13 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 41 days
- Sell — Sell when price breaks below the lowest low of the last 65 days