Trend-Following Backtester · Guide · backtest 한국어
equity · US
Extra Space Storage Inc backtest
10 trend-following strategies were compared on the full daily history of Extra Space Storage Inc. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.0%, MDD -32.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.9%, drawdown -75.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.9%, MDD -34.7%, Sharpe 0.77, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 12.0%, MDD -32.8%, exposure 60%).
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=95, slow=187 |
14.9% | -34.7% | 0.77 | 0.43 | 21.0x | 17 | 67% |
| Donchian 채널 돌파 entryN=117, exitN=74 |
12.0% | -32.8% | 0.71 | 0.37 | 12.0x | 20 | 60% |
| EMA 크로스오버 fast=58, slow=182 |
10.2% | -51.2% | 0.58 | 0.20 | 8.4x | 25 | 67% |
| ROC 모멘텀 n=124, threshold=-0.06 |
8.6% | -65.2% | 0.48 | 0.13 | 6.1x | 131 | 77% |
| ADX / DI 방향성 period=50, threshold=20 |
2.2% | -17.8% | 0.38 | 0.13 | 1.6x | 20 | 12% |
| Supertrend period=8, mult=5 |
5.7% | -62.5% | 0.37 | 0.09 | 3.4x | 65 | 61% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
1.2% | -20.8% | 0.27 | 0.06 | 1.3x | 8 | 5% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.5% | -54.9% | 0.22 | 0.05 | 1.7x | 195 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=2.8 |
0.2% | -52.5% | 0.08 | 0.00 | 1.0x | 94 | 36% |
| MACD fast=18, slow=47, signal=17 |
-3.6% | -65.4% | -0.05 | -0.06 | 0.4x | 271 | 51% |
| Buy and hold | 11.9% | -75.0% | 0.51 | 0.16 | 11.8x | 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 95-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 95-day average falls below the 187-day average