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. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.7%, MDD -35.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 0.2%, drawdown -71.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.7%, MDD -62.1%, Sharpe 0.18, 55% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 8.9%p (CAGR 0.7%, MDD -35.4%, exposure 23%).
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 |
1.7% | -62.1% | 0.18 | 0.03 | 1.7x | 41 | 55% |
| Keltner 채널 돌파 emaPeriod=71, atrPeriod=12, mult=3.7 |
0.7% | -35.4% | 0.12 | 0.02 | 1.3x | 59 | 23% |
| Donchian 채널 돌파 entryN=35, exitN=53 |
0.2% | -56.6% | 0.11 | 0.00 | 1.1x | 85 | 64% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.1% | -5.3% | 0.10 | 0.02 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=55, slow=141 |
-0.3% | -74.9% | 0.07 | -0.00 | 0.9x | 55 | 55% |
| ROC 모멘텀 n=144, threshold=-0.15 |
-2.7% | -86.1% | -0.01 | -0.03 | 0.4x | 187 | 83% |
| Supertrend period=17, mult=4.9 |
-2.2% | -71.3% | -0.04 | -0.03 | 0.5x | 95 | 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 |
-6.5% | -92.4% | -0.24 | -0.07 | 0.1x | 451 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-9.1% | -96.4% | -0.36 | -0.09 | 0.0x | 315 | 53% |
| Buy and hold | 0.2% | -71.0% | 0.16 | 0.00 | 1.1x | 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