Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brandywine Realty Trust backtest
10 trend-following strategies were compared on the full daily history of Brandywine Realty Trust. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.4%, MDD -54.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.5%, drawdown -97.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.4%, MDD -54.2%, Sharpe 0.25, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.9%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 3.4%, MDD -54.2%, exposure 8%).
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=25, threshold=24 |
3.4% | -54.2% | 0.25 | 0.06 | 3.7x | 82 | 8% |
| EMA 크로스오버 fast=46, slow=252 |
2.1% | -66.5% | 0.22 | 0.03 | 2.3x | 40 | 51% |
| Donchian 채널 돌파 entryN=127, exitN=67 |
2.0% | -60.6% | 0.21 | 0.03 | 2.2x | 54 | 36% |
| SMA 크로스오버 fast=47, slow=210 |
1.0% | -66.7% | 0.18 | 0.01 | 1.5x | 60 | 48% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
1.7% | -66.3% | 0.18 | 0.03 | 2.0x | 16 | 4% |
| ROC 모멘텀 n=149, threshold=0.13 |
-0.5% | -79.1% | 0.12 | -0.01 | 0.8x | 300 | 25% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=20, mult=3.7 |
-0.4% | -63.9% | 0.09 | -0.01 | 0.9x | 58 | 4% |
| MACD fast=23, slow=44, signal=24 |
-4.6% | -95.2% | 0.07 | -0.05 | 0.2x | 356 | 51% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-3.8% | -92.1% | 0.07 | -0.04 | 0.2x | 316 | 49% |
| Supertrend period=9, mult=5 |
-4.2% | -96.6% | 0.06 | -0.04 | 0.2x | 165 | 52% |
| Buy and hold | -5.5% | -97.2% | 0.16 | -0.06 | 0.1x | 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, 25-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)