Trend-Following Backtester · Guide · backtest 한국어
equity · US
AvalonBay Communities, Inc. backtest
10 trend-following strategies were compared on the full daily history of AvalonBay Communities, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.0%, MDD -38.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.0%, drawdown -73.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -42.7%, Sharpe 0.64, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 30.3%p (CAGR 7.0%, MDD -38.3%, exposure 62%).
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=64, slow=131 |
9.4% | -42.7% | 0.64 | 0.22 | 18.4x | 47 | 60% |
| EMA 크로스오버 fast=56, slow=167 |
7.0% | -38.3% | 0.50 | 0.18 | 9.1x | 37 | 62% |
| Donchian 채널 돌파 entryN=96, exitN=60 |
6.1% | -57.3% | 0.46 | 0.11 | 6.8x | 43 | 56% |
| ROC 모멘텀 n=147, threshold=-0.04 |
6.0% | -44.9% | 0.41 | 0.13 | 6.5x | 179 | 70% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=10, mult=3.6 |
1.2% | -29.7% | 0.17 | 0.04 | 1.5x | 76 | 21% |
| Supertrend period=14, mult=4.8 |
0.8% | -67.2% | 0.13 | 0.01 | 1.3x | 105 | 57% |
| ADX / DI 방향성 period=32, threshold=18 |
0.5% | -42.4% | 0.10 | 0.01 | 1.2x | 102 | 19% |
| 볼린저 밴드 돌파 n=59, k=2.8 |
-0.1% | -27.7% | 0.03 | -0.00 | 1.0x | 40 | 14% |
| MACD fast=16, slow=51, signal=39 |
-4.4% | -85.2% | -0.15 | -0.05 | 0.2x | 316 | 52% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-6.5% | -90.8% | -0.25 | -0.07 | 0.1x | 610 | 55% |
| Buy and hold | 7.0% | -73.0% | 0.38 | 0.10 | 8.8x | 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 64-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 64-day average falls below the 131-day average