Trend-Following Backtester · Guide · backtest 한국어
equity · US
Agree Realty Corporation backtest
10 trend-following strategies were compared on the full daily history of Agree Realty Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -74.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.8%, MDD -11.4%, Sharpe 0.23, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.0%, MDD -29.5%, exposure 41%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=34 |
0.8% | -11.4% | 0.23 | 0.07 | 1.3x | 22 | 4% |
| Donchian 채널 돌파 entryN=90, exitN=46 |
2.0% | -29.5% | 0.21 | 0.07 | 1.9x | 56 | 41% |
| EMA 크로스오버 fast=50, slow=171 |
1.3% | -45.1% | 0.16 | 0.03 | 1.5x | 49 | 59% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=14, mult=4 |
0.4% | -13.6% | 0.16 | 0.03 | 1.1x | 12 | 2% |
| SMA 크로스오버 fast=44, slow=218 |
1.1% | -42.7% | 0.15 | 0.02 | 1.4x | 53 | 58% |
| Supertrend period=29, mult=5 |
1.0% | -49.8% | 0.14 | 0.02 | 1.4x | 85 | 57% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-0.9% | -63.0% | 0.06 | -0.01 | 0.8x | 404 | 54% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
-0.0% | -24.6% | 0.02 | -0.00 | 1.0x | 24 | 6% |
| ROC 모멘텀 n=13, threshold=0.14 |
-0.3% | -30.5% | 0.01 | -0.01 | 0.9x | 50 | 1% |
| MACD fast=23, slow=46, signal=29 |
-3.5% | -81.8% | -0.08 | -0.04 | 0.3x | 289 | 52% |
| Buy and hold | 4.4% | -74.3% | 0.29 | 0.06 | 4.0x | 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, 22-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)