Trend-Following Backtester · Guide · backtest 한국어
equity · US
Camden Property Trust backtest
10 trend-following strategies were compared on the full daily history of Camden Property Trust. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.4%, MDD -47.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -78.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.4%, MDD -47.2%, Sharpe 0.41, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 5.4%, MDD -47.2%, exposure 59%).
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=69, slow=208 |
5.4% | -47.2% | 0.41 | 0.11 | 5.7x | 33 | 59% |
| Donchian 채널 돌파 entryN=139, exitN=63 |
3.5% | -43.1% | 0.33 | 0.08 | 3.2x | 41 | 47% |
| EMA 크로스오버 fast=60, slow=164 |
3.9% | -47.8% | 0.32 | 0.08 | 3.5x | 39 | 62% |
| 볼린저 밴드 돌파 n=15, k=3.4 |
0.2% | -2.6% | 0.21 | 0.08 | 1.1x | 2 | 0% |
| ROC 모멘텀 n=137, threshold=0.01 |
1.3% | -55.0% | 0.16 | 0.02 | 1.5x | 277 | 58% |
| Supertrend period=15, mult=3.3 |
-0.8% | -63.4% | 0.06 | -0.01 | 0.8x | 195 | 61% |
| ADX / DI 방향성 period=19, threshold=46 |
0.0% | -5.5% | 0.05 | 0.01 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=28, mult=4 |
-0.2% | -25.1% | 0.01 | -0.01 | 0.9x | 56 | 13% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.1% | -58.0% | -0.01 | -0.04 | 0.5x | 283 | 57% |
| MACD fast=19, slow=48, signal=18 |
-3.9% | -81.7% | -0.11 | -0.05 | 0.3x | 398 | 50% |
| Buy and hold | 4.9% | -78.3% | 0.31 | 0.06 | 4.8x | 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 69-day average price crosses above the 208-day average
- Sell — Sell (to cash) when the 69-day average falls below the 208-day average