Trend-Following Backtester · Guide · backtest 한국어
equity · US
Getty Realty Corporation backtest
10 trend-following strategies were compared on the full daily history of Getty Realty Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.9%, drawdown -63.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.7%, MDD -40.8%, Sharpe 0.45, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.3%, MDD -70.7%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=34 |
5.7% | -40.8% | 0.45 | 0.14 | 19.6x | 66 | 9% |
| EMA 크로스오버 fast=58, slow=280 |
6.5% | -59.9% | 0.38 | 0.11 | 27.9x | 55 | 61% |
| Donchian 채널 돌파 entryN=27, exitN=119 |
7.2% | -65.5% | 0.38 | 0.11 | 40.2x | 83 | 82% |
| ROC 모멘텀 Hold-like · Exposure 97% n=5, threshold=-0.09 |
7.3% | -70.7% | 0.37 | 0.10 | 41.8x | 231 | 97% |
| 볼린저 밴드 돌파 n=30, k=3 |
4.6% | -44.4% | 0.34 | 0.10 | 10.7x | 128 | 16% |
| Parabolic SAR step=0.01, maxStep=0.32 |
4.5% | -82.2% | 0.30 | 0.05 | 10.5x | 602 | 51% |
| SMA 크로스오버 fast=53, slow=208 |
4.3% | -58.5% | 0.29 | 0.07 | 9.3x | 83 | 60% |
| Supertrend period=25, mult=4 |
2.2% | -75.2% | 0.21 | 0.03 | 3.2x | 271 | 52% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=16, mult=2.1 |
2.1% | -66.4% | 0.20 | 0.03 | 3.0x | 284 | 33% |
| MACD fast=13, slow=35, signal=18 |
1.5% | -90.4% | 0.19 | 0.02 | 2.3x | 676 | 51% |
| Buy and hold | 8.9% | -63.3% | 0.41 | 0.14 | 95.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 22-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)