Trend-Following Backtester · Guide · backtest 한국어
equity · US
Healthpeak Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of Healthpeak Properties, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.7%, drawdown -69.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.1%, MDD -62.0%, Sharpe 0.21, 83% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=8, exitN=45 |
2.1% | -62.0% | 0.21 | 0.03 | 2.3x | 199 | 83% |
| SMA 크로스오버 fast=53, slow=163 |
1.2% | -58.3% | 0.16 | 0.02 | 1.7x | 63 | 59% |
| EMA 크로스오버 fast=58, slow=140 |
1.3% | -58.2% | 0.16 | 0.02 | 1.7x | 55 | 59% |
| ROC 모멘텀 n=132, threshold=-0.11 |
0.7% | -79.3% | 0.14 | 0.01 | 1.3x | 219 | 82% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=13, mult=3.2 |
0.3% | -8.4% | 0.14 | 0.03 | 1.1x | 10 | 1% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.3% | -25.7% | 0.08 | 0.01 | 1.1x | 15 | 3% |
| ADX / DI 방향성 period=28, threshold=31 |
0.0% | -13.5% | 0.01 | 0.00 | 1.0x | 12 | 2% |
| Supertrend period=6, mult=4.9 |
-1.8% | -76.2% | -0.02 | -0.02 | 0.5x | 149 | 59% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-3.1% | -86.1% | -0.07 | -0.04 | 0.3x | 354 | 55% |
| MACD fast=17, slow=49, signal=14 |
-3.9% | -83.5% | -0.11 | -0.05 | 0.2x | 510 | 50% |
| Buy and hold | 3.7% | -69.1% | 0.27 | 0.05 | 4.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 8 days
- Sell — Sell when price breaks below the lowest low of the last 45 days