Trend-Following Backtester · Guide · backtest 한국어
equity · US
EastGroup Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of EastGroup Properties, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.5%, MDD -59.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.2%, drawdown -83.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.5%, MDD -59.6%, Sharpe 0.41, 64% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 6.5%, MDD -59.6%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=177, slow=279 |
6.5% | -59.6% | 0.41 | 0.11 | 28.5x | 25 | 64% |
| SMA 크로스오버 fast=56, slow=288 |
5.0% | -56.5% | 0.34 | 0.09 | 13.3x | 55 | 63% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.14 |
3.5% | -86.6% | 0.26 | 0.04 | 6.2x | 51 | 100% |
| Donchian 채널 돌파 entryN=106, exitN=61 |
1.3% | -57.0% | 0.16 | 0.02 | 2.0x | 93 | 49% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=4 |
-1.1% | -64.6% | -0.03 | -0.02 | 0.6x | 142 | 18% |
| MACD fast=31, slow=55, signal=18 |
-2.9% | -84.4% | -0.04 | -0.03 | 0.2x | 490 | 51% |
| Supertrend period=25, mult=3.8 |
-2.8% | -87.6% | -0.04 | -0.03 | 0.2x | 373 | 58% |
| ADX / DI 방향성 period=28, threshold=31 |
-0.2% | -14.8% | -0.05 | -0.01 | 0.9x | 24 | 2% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.4% | -89.2% | -0.07 | -0.04 | 0.2x | 434 | 53% |
| 볼린저 밴드 돌파 n=41, k=3.1 |
-1.1% | -58.0% | -0.07 | -0.02 | 0.5x | 77 | 9% |
| Buy and hold | 5.2% | -83.3% | 0.32 | 0.06 | 14.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 177-day EMA crosses above the 279-day EMA
- Sell — Sell when the 177-day EMA falls below the 279-day EMA