Trend-Following Backtester · Guide · backtest 한국어
equity · US
Independence Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Independence Realty Trust, Inc.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 8.1%, MDD -25.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.3%, drawdown -57.3%).
Sharpe leader (same as main): Supertrend — CAGR 8.1%, MDD -25.7%, Sharpe 0.52, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 8.1%, MDD -25.7%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.1 |
8.1% | -25.7% | 0.52 | 0.32 | 2.8x | 41 | 56% |
| ROC 모멘텀 n=129, threshold=0.12 |
5.8% | -49.6% | 0.47 | 0.12 | 2.1x | 76 | 32% |
| Donchian 채널 돌파 entryN=114, exitN=72 |
6.1% | -31.0% | 0.46 | 0.20 | 2.2x | 14 | 41% |
| SMA 크로스오버 fast=9, slow=189 |
6.4% | -33.0% | 0.44 | 0.19 | 2.2x | 33 | 53% |
| 볼린저 밴드 돌파 n=21, k=3.5 |
1.8% | -11.5% | 0.42 | 0.16 | 1.3x | 6 | 4% |
| EMA 크로스오버 fast=51, slow=104 |
6.0% | -43.3% | 0.40 | 0.14 | 2.1x | 21 | 56% |
| MACD fast=54, slow=93, signal=24 |
5.0% | -32.9% | 0.35 | 0.15 | 1.9x | 63 | 56% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=2.3 |
1.9% | -45.1% | 0.20 | 0.04 | 1.3x | 50 | 37% |
| ADX / DI 방향성 period=36, threshold=27 |
0.2% | -7.1% | 0.12 | 0.03 | 1.0x | 2 | 2% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-6.2% | -64.5% | -0.23 | -0.10 | 0.4x | 260 | 56% |
| Buy and hold | 5.3% | -57.3% | 0.33 | 0.09 | 2.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.1× band
- Sell — Sell when price drops below the trend line (flips down)