Trend-Following Backtester · Guide · backtest 한국어
equity · US
AH Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of AH Realty Trust, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -9.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.8%, drawdown -73.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.0%, MDD -14.0%, Sharpe 0.24, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 59.0%p (CAGR -0.0%, MDD -9.0%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=30, k=3.5 |
1.0% | -14.0% | 0.24 | 0.07 | 1.1x | 8 | 5% |
| Donchian 채널 돌파 entryN=119, exitN=42 |
0.2% | -34.0% | 0.08 | 0.01 | 1.0x | 16 | 33% |
| ROC 모멘텀 n=3, threshold=0.15 |
0.1% | -10.7% | 0.04 | 0.01 | 1.0x | 10 | 0% |
| ADX / DI 방향성 period=21, threshold=38 |
-0.0% | -9.0% | -0.01 | -0.00 | 1.0x | 4 | 1% |
| SMA 크로스오버 fast=17, slow=49 |
-1.8% | -54.6% | -0.02 | -0.03 | 0.8x | 73 | 53% |
| EMA 크로스오버 fast=45, slow=132 |
-2.6% | -54.4% | -0.08 | -0.05 | 0.7x | 21 | 48% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=26, mult=3.7 |
-0.9% | -23.0% | -0.08 | -0.04 | 0.9x | 16 | 9% |
| MACD fast=17, slow=52, signal=12 |
-5.4% | -65.7% | -0.15 | -0.08 | 0.5x | 178 | 52% |
| Supertrend period=27, mult=4.7 |
-4.2% | -50.4% | -0.19 | -0.08 | 0.6x | 39 | 49% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-9.6% | -77.1% | -0.41 | -0.12 | 0.3x | 181 | 50% |
| Buy and hold | -3.8% | -73.1% | 0.04 | -0.05 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 30-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 30-day middle average