Trend-Following Backtester · Guide · backtest 한국어
equity · US
Apartment Investment and Management Company backtest
10 trend-following strategies were compared on the full daily history of Apartment Investment and Management Company. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -6.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.3%, drawdown -92.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.3%, MDD -47.0%, Sharpe 0.36, 63% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 0.7%, MDD -6.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=62, exitN=73 |
5.3% | -47.0% | 0.36 | 0.11 | 5.2x | 52 | 63% |
| SMA 크로스오버 fast=44, slow=116 |
5.0% | -49.4% | 0.35 | 0.10 | 4.8x | 70 | 59% |
| 볼린저 밴드 돌파 n=28, k=3.5 |
0.7% | -6.4% | 0.27 | 0.11 | 1.2x | 4 | 1% |
| EMA 크로스오버 fast=58, slow=100 |
3.0% | -48.8% | 0.25 | 0.06 | 2.6x | 60 | 62% |
| ROC 모멘텀 n=92, threshold=-0.11 |
2.3% | -78.6% | 0.22 | 0.03 | 2.1x | 174 | 84% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=12, mult=3.5 |
1.8% | -37.5% | 0.22 | 0.05 | 1.8x | 78 | 21% |
| ADX / DI 방향성 period=21, threshold=24 |
1.2% | -36.9% | 0.18 | 0.03 | 1.5x | 104 | 15% |
| Supertrend period=18, mult=4.8 |
-0.8% | -68.4% | 0.06 | -0.01 | 0.8x | 110 | 55% |
| MACD fast=17, slow=31, signal=17 |
-4.2% | -81.2% | -0.03 | -0.05 | 0.3x | 407 | 51% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-4.9% | -82.7% | -0.09 | -0.06 | 0.2x | 420 | 54% |
| Buy and hold | 0.3% | -92.3% | 0.19 | 0.00 | 1.1x | 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 62 days
- Sell — Sell when price breaks below the lowest low of the last 73 days