Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alexandria Real Estate Equities, Inc. backtest
10 trend-following strategies were compared on the full daily history of Alexandria Real Estate Equities, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.0%, MDD -56.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.1%, drawdown -81.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -56.5%, Sharpe 0.30, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 25.5%p (CAGR 4.0%, MDD -56.5%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=65, slow=241 |
4.0% | -56.5% | 0.30 | 0.07 | 3.1x | 28 | 64% |
| ADX / DI 방향성 period=18, threshold=41 |
0.6% | -8.3% | 0.27 | 0.08 | 1.2x | 8 | 1% |
| ROC 모멘텀 Hold-like · Exposure 95% n=17, threshold=-0.11 |
3.4% | -76.7% | 0.26 | 0.04 | 2.7x | 137 | 95% |
| EMA 크로스오버 fast=58, slow=208 |
1.3% | -59.1% | 0.16 | 0.02 | 1.4x | 42 | 66% |
| Donchian 채널 돌파 entryN=15, exitN=79 |
0.8% | -75.1% | 0.15 | 0.01 | 1.3x | 79 | 84% |
| Supertrend period=15, mult=5 |
0.4% | -68.6% | 0.11 | 0.01 | 1.1x | 93 | 58% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=4 |
0.2% | -35.9% | 0.07 | 0.01 | 1.1x | 68 | 21% |
| 볼린저 밴드 돌파 n=17, k=3.2 |
0.0% | -21.5% | 0.02 | 0.00 | 1.0x | 20 | 2% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-3.5% | -72.3% | -0.09 | -0.05 | 0.3x | 447 | 55% |
| MACD fast=15, slow=24, signal=11 |
-4.9% | -80.8% | -0.13 | -0.06 | 0.2x | 493 | 50% |
| Buy and hold | 3.1% | -81.9% | 0.25 | 0.04 | 2.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 65-day average price crosses above the 241-day average
- Sell — Sell (to cash) when the 65-day average falls below the 241-day average