Trend-Following Backtester · Guide · backtest 한국어
equity · US
CareTrust REIT, Inc. backtest
10 trend-following strategies were compared on the full daily history of CareTrust REIT, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -30.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.7%, drawdown -68.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.3%, MDD -31.4%, Sharpe 0.70, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 7.4%, MDD -30.2%, exposure 47%).
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=50, slow=189 |
11.3% | -31.4% | 0.70 | 0.36 | 3.7x | 15 | 60% |
| Donchian 채널 돌파 entryN=107, exitN=58 |
7.4% | -30.2% | 0.55 | 0.25 | 2.4x | 15 | 47% |
| ADX / DI 방향성 period=38, threshold=22 |
2.7% | -10.1% | 0.54 | 0.26 | 1.4x | 8 | 8% |
| EMA 크로스오버 fast=57, slow=104 |
5.4% | -54.7% | 0.39 | 0.10 | 1.9x | 21 | 62% |
| ROC 모멘텀 n=117, threshold=-0.03 |
5.3% | -46.7% | 0.37 | 0.11 | 1.9x | 83 | 64% |
| Supertrend period=24, mult=4.1 |
1.1% | -49.6% | 0.17 | 0.02 | 1.1x | 46 | 60% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=29, mult=3.5 |
0.2% | -34.6% | 0.09 | 0.00 | 1.0x | 24 | 26% |
| 볼린저 밴드 돌파 n=25, k=3.4 |
0.2% | -9.5% | 0.08 | 0.02 | 1.0x | 6 | 2% |
| MACD fast=10, slow=37, signal=15 |
-3.4% | -67.9% | -0.03 | -0.05 | 0.7x | 194 | 52% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-6.5% | -69.1% | -0.17 | -0.09 | 0.4x | 279 | 55% |
| Buy and hold | 6.7% | -68.4% | 0.36 | 0.10 | 2.2x | 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 50-day average price crosses above the 189-day average
- Sell — Sell (to cash) when the 50-day average falls below the 189-day average