Trend-Following Backtester · Guide · backtest 한국어
equity · US
Saul Centers, Inc. backtest
10 trend-following strategies were compared on the full daily history of Saul Centers, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.8%, MDD -42.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 1.6%, drawdown -67.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -42.0%, Sharpe 0.24, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 25.7%p (CAGR 2.8%, MDD -42.0%, exposure 57%).
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=58, slow=213 |
2.8% | -42.0% | 0.24 | 0.07 | 2.5x | 41 | 57% |
| EMA 크로스오버 fast=56, slow=125 |
0.7% | -49.3% | 0.13 | 0.01 | 1.2x | 57 | 56% |
| 볼린저 밴드 돌파 n=60, k=3.5 |
0.2% | -21.7% | 0.06 | 0.01 | 1.1x | 20 | 7% |
| ROC 모멘텀 n=77, threshold=0.25 |
0.1% | -26.4% | 0.05 | 0.01 | 1.0x | 68 | 3% |
| Donchian 채널 돌파 entryN=13, exitN=72 |
-3.0% | -71.1% | 0.01 | -0.04 | 0.4x | 107 | 82% |
| ADX / DI 방향성 period=31, threshold=30 |
-0.0% | -7.7% | 0.00 | -0.00 | 1.0x | 2 | 0% |
| Supertrend period=27, mult=4.4 |
-3.1% | -76.7% | -0.05 | -0.04 | 0.4x | 103 | 55% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=17, mult=3.1 |
-0.1% | -3.9% | -0.11 | -0.02 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-7.7% | -92.9% | -0.27 | -0.08 | 0.1x | 280 | 54% |
| MACD fast=17, slow=33, signal=18 |
-10.0% | -97.1% | -0.38 | -0.10 | 0.0x | 446 | 49% |
| Buy and hold | 1.6% | -67.7% | 0.21 | 0.02 | 1.7x | 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 58-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 58-day average falls below the 213-day average