Trend-Following Backtester · Guide · backtest 한국어
equity · US
EPR Properties backtest
10 trend-following strategies were compared on the full daily history of EPR Properties. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.8%, MDD -42.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.9%, drawdown -83.5%).
Sharpe leader (same as main): Supertrend — CAGR 4.8%, MDD -42.6%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 40.9%p (CAGR 4.8%, MDD -42.6%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.9 |
4.8% | -42.6% | 0.33 | 0.11 | 3.9x | 79 | 56% |
| SMA 크로스오버 fast=47, slow=158 |
3.7% | -50.6% | 0.28 | 0.07 | 2.9x | 61 | 57% |
| Donchian 채널 돌파 entryN=10, exitN=56 |
4.1% | -62.3% | 0.28 | 0.07 | 3.1x | 109 | 83% |
| 볼린저 밴드 돌파 n=52, k=2.6 |
2.8% | -42.3% | 0.27 | 0.07 | 2.2x | 62 | 23% |
| EMA 크로스오버 fast=57, slow=176 |
3.4% | -52.8% | 0.27 | 0.06 | 2.6x | 43 | 62% |
| ROC 모멘텀 n=139, threshold=0 |
2.1% | -44.5% | 0.20 | 0.05 | 1.8x | 243 | 59% |
| MACD fast=19, slow=28, signal=17 |
1.8% | -51.8% | 0.19 | 0.04 | 1.7x | 376 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
1.6% | -57.1% | 0.19 | 0.03 | 1.6x | 248 | 56% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=22, mult=2.1 |
0.3% | -37.1% | 0.10 | 0.01 | 1.1x | 156 | 30% |
| ADX / DI 방향성 period=19, threshold=15 |
-0.8% | -55.3% | 0.05 | -0.01 | 0.8x | 326 | 40% |
| Buy and hold | 3.9% | -83.5% | 0.29 | 0.05 | 3.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)