Trend-Following Backtester · Guide · backtest 한국어
equity · US
Equity Residential backtest
10 trend-following strategies were compared on the full daily history of Equity Residential. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -36.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.8%, drawdown -70.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -36.4%, Sharpe 0.40, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 33.9%p (CAGR 5.6%, MDD -36.4%, exposure 57%).
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=41, slow=145 |
5.6% | -36.4% | 0.40 | 0.15 | 6.0x | 51 | 57% |
| Donchian 채널 돌파 entryN=68, exitN=75 |
4.5% | -46.7% | 0.34 | 0.10 | 4.3x | 47 | 58% |
| EMA 크로스오버 fast=50, slow=163 |
3.8% | -42.0% | 0.30 | 0.09 | 3.4x | 49 | 60% |
| ROC 모멘텀 n=114, threshold=0.01 |
2.0% | -62.1% | 0.20 | 0.03 | 1.9x | 273 | 57% |
| ADX / DI 방향성 period=20, threshold=39 |
0.6% | -11.7% | 0.15 | 0.05 | 1.2x | 14 | 2% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.2% | -5.5% | 0.13 | 0.03 | 1.1x | 4 | 1% |
| Supertrend period=9, mult=4.6 |
-0.3% | -62.0% | 0.07 | -0.01 | 0.9x | 119 | 58% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=15, mult=3.5 |
-0.5% | -27.2% | -0.01 | -0.02 | 0.9x | 78 | 17% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-5.3% | -89.6% | -0.15 | -0.06 | 0.2x | 287 | 56% |
| MACD fast=9, slow=24, signal=15 |
-7.3% | -92.6% | -0.24 | -0.08 | 0.1x | 614 | 50% |
| Buy and hold | 4.8% | -70.3% | 0.30 | 0.07 | 4.6x | 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 41-day average price crosses above the 145-day average
- Sell — Sell (to cash) when the 41-day average falls below the 145-day average