Trend-Following Backtester · Guide · backtest 한국어
equity · US
Essex Property Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Essex Property Trust, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.4%, MDD -32.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.7%, drawdown -65.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -32.4%, Sharpe 0.60, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 9.4%, MDD -32.4%, exposure 63%).
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=56, slow=148 |
9.4% | -32.4% | 0.60 | 0.29 | 17.8x | 47 | 63% |
| ROC 모멘텀 n=143, threshold=-0.09 |
7.2% | -44.8% | 0.45 | 0.16 | 9.4x | 159 | 83% |
| EMA 크로스오버 fast=54, slow=150 |
6.6% | -39.6% | 0.44 | 0.17 | 7.7x | 39 | 69% |
| Donchian 채널 돌파 entryN=100, exitN=63 |
5.6% | -46.6% | 0.43 | 0.12 | 5.7x | 47 | 54% |
| ADX / DI 방향성 period=31, threshold=32 |
0.8% | -10.7% | 0.37 | 0.08 | 1.3x | 4 | 2% |
| Supertrend period=19, mult=3.6 |
4.6% | -38.3% | 0.34 | 0.12 | 4.3x | 141 | 61% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=16, mult=3.3 |
1.9% | -37.3% | 0.25 | 0.05 | 1.9x | 86 | 26% |
| 볼린저 밴드 돌파 n=42, k=2.3 |
1.7% | -43.9% | 0.21 | 0.04 | 1.7x | 118 | 30% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-4.8% | -89.2% | -0.17 | -0.05 | 0.2x | 596 | 56% |
| MACD fast=18, slow=28, signal=16 |
-6.3% | -89.3% | -0.26 | -0.07 | 0.1x | 480 | 51% |
| Buy and hold | 8.7% | -65.3% | 0.44 | 0.13 | 14.6x | 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 56-day average price crosses above the 148-day average
- Sell — Sell (to cash) when the 56-day average falls below the 148-day average