Trend-Following Backtester · Guide · backtest 한국어
equity · US
Healthcare Realty Trust Incorporated backtest
10 trend-following strategies were compared on the full daily history of Healthcare Realty Trust Incorporated. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.1%, MDD -5.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.1%, drawdown -71.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.4%, MDD -62.1%, Sharpe 0.17, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 8.9%p (CAGR 0.1%, MDD -5.3%, exposure 0%).
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=49, slow=216 |
1.4% | -62.1% | 0.17 | 0.02 | 1.6x | 41 | 55% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=12, mult=3.7 |
0.6% | -35.4% | 0.11 | 0.02 | 1.2x | 60 | 23% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.1% | -5.3% | 0.10 | 0.02 | 1.0x | 2 | 0% |
| Donchian 채널 돌파 entryN=35, exitN=53 |
-0.0% | -56.6% | 0.10 | -0.00 | 1.0x | 86 | 64% |
| EMA 크로스오버 fast=55, slow=141 |
-0.6% | -74.9% | 0.05 | -0.01 | 0.8x | 55 | 55% |
| ROC 모멘텀 n=144, threshold=-0.15 |
-3.0% | -86.1% | -0.02 | -0.03 | 0.4x | 187 | 83% |
| Supertrend period=17, mult=4.9 |
-2.3% | -71.3% | -0.05 | -0.03 | 0.5x | 96 | 54% |
| ADX / DI 방향성 period=35, threshold=26 |
-0.5% | -22.0% | -0.14 | -0.02 | 0.8x | 12 | 2% |
| MACD fast=19, slow=29, signal=14 |
-6.6% | -92.4% | -0.24 | -0.07 | 0.1x | 452 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-9.2% | -96.4% | -0.37 | -0.10 | 0.0x | 316 | 53% |
| Buy and hold | -0.1% | -71.0% | 0.15 | -0.00 | 1.0x | 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 49-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 49-day average falls below the 216-day average