Trend-Following Backtester · Guide · backtest 한국어
equity · US
CubeSmart backtest
10 trend-following strategies were compared on the full daily history of CubeSmart. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.1%, MDD -37.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.0%, drawdown -94.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -50.4%, Sharpe 0.57, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 43.5%p (CAGR 7.1%, MDD -37.4%, 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=46, slow=107 |
9.9% | -50.4% | 0.57 | 0.20 | 7.8x | 43 | 61% |
| Donchian 채널 돌파 entryN=37, exitN=72 |
8.6% | -60.9% | 0.46 | 0.14 | 6.1x | 41 | 73% |
| Supertrend period=27, mult=5 |
7.1% | -37.4% | 0.44 | 0.19 | 4.5x | 57 | 57% |
| ROC 모멘텀 n=93, threshold=-0.02 |
7.1% | -42.9% | 0.44 | 0.17 | 4.5x | 143 | 64% |
| EMA 크로스오버 fast=24, slow=118 |
7.0% | -50.4% | 0.43 | 0.14 | 4.4x | 49 | 63% |
| 볼린저 밴드 돌파 n=49, k=1 |
3.8% | -34.3% | 0.29 | 0.11 | 2.3x | 162 | 49% |
| ADX / DI 방향성 period=32, threshold=20 |
2.0% | -32.3% | 0.24 | 0.06 | 1.6x | 48 | 10% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.1% | -60.0% | 0.16 | 0.02 | 1.3x | 198 | 56% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=26, mult=3.3 |
0.3% | -19.7% | 0.08 | 0.02 | 1.1x | 26 | 8% |
| MACD fast=19, slow=55, signal=10 |
-4.9% | -77.2% | -0.07 | -0.06 | 0.3x | 306 | 53% |
| Buy and hold | 4.0% | -94.0% | 0.29 | 0.04 | 2.4x | 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 46-day average price crosses above the 107-day average
- Sell — Sell (to cash) when the 46-day average falls below the 107-day average