Trend-Following Backtester · Guide · backtest 한국어
equity · US
Essential Properties Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Essential Properties Realty Trust, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.8%, MDD -27.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.0%, drawdown -73.7%).
Sharpe leader (same as main): Supertrend — CAGR 14.8%, MDD -27.8%, Sharpe 0.79, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 45.8%p (CAGR 14.8%, MDD -27.8%, exposure 61%).
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=19, mult=5 |
14.8% | -27.8% | 0.79 | 0.53 | 3.1x | 16 | 61% |
| SMA 크로스오버 fast=16, slow=113 |
11.9% | -29.6% | 0.69 | 0.40 | 2.5x | 24 | 59% |
| Donchian 채널 돌파 entryN=81, exitN=68 |
9.6% | -26.2% | 0.64 | 0.37 | 2.1x | 10 | 51% |
| ROC 모멘텀 n=133, threshold=-0.01 |
7.5% | -39.4% | 0.47 | 0.19 | 1.8x | 64 | 62% |
| ADX / DI 방향성 period=30, threshold=8 |
7.0% | -27.6% | 0.45 | 0.25 | 1.7x | 90 | 49% |
| 볼린저 밴드 돌파 n=57, k=3.1 |
3.3% | -15.7% | 0.44 | 0.21 | 1.3x | 8 | 12% |
| EMA 크로스오버 fast=33, slow=58 |
5.4% | -37.6% | 0.37 | 0.14 | 1.5x | 32 | 60% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=25, mult=1.4 |
4.2% | -30.4% | 0.33 | 0.14 | 1.4x | 52 | 45% |
| MACD fast=17, slow=49, signal=5 |
2.9% | -41.7% | 0.24 | 0.07 | 1.3x | 150 | 51% |
| Parabolic SAR step=0.015, maxStep=0.2 |
1.6% | -39.3% | 0.18 | 0.04 | 1.1x | 158 | 55% |
| Buy and hold | 10.0% | -73.7% | 0.45 | 0.14 | 2.2x | 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) — 19-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)