Trend-Following Backtester · Guide · backtest 한국어
equity · US
Digital Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Digital Realty Trust, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.5%, drawdown -56.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.4%, MDD -37.9%, Sharpe 0.46, 65% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=23, slow=134 |
8.4% | -37.9% | 0.46 | 0.22 | 5.8x | 46 | 65% |
| EMA 크로스오버 fast=44, slow=51 |
8.2% | -41.7% | 0.46 | 0.20 | 5.5x | 56 | 66% |
| ADX / DI 방향성 period=56, threshold=13 |
4.1% | -39.9% | 0.42 | 0.10 | 2.4x | 50 | 22% |
| Donchian 채널 돌파 entryN=26, exitN=59 |
5.6% | -61.6% | 0.34 | 0.09 | 3.2x | 57 | 76% |
| Supertrend period=8, mult=5 |
4.9% | -56.9% | 0.33 | 0.09 | 2.8x | 71 | 60% |
| ROC 모멘텀 n=71, threshold=-0.01 |
3.5% | -53.5% | 0.27 | 0.07 | 2.1x | 210 | 67% |
| MACD fast=17, slow=80, signal=29 |
0.5% | -61.0% | 0.13 | 0.01 | 1.1x | 201 | 51% |
| 볼린저 밴드 돌파 n=52, k=1.5 |
0.1% | -62.2% | 0.10 | 0.00 | 1.0x | 135 | 47% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=2.8 |
0.4% | -57.4% | 0.10 | 0.01 | 1.1x | 92 | 34% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.9% | -71.7% | 0.03 | -0.03 | 0.7x | 207 | 57% |
| Buy and hold | 13.5% | -56.8% | 0.55 | 0.24 | 15.6x | 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 23-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 23-day average falls below the 134-day average