Trend-Following Backtester · Guide · backtest 한국어
equity · US
JBG SMITH Properties backtest
10 trend-following strategies were compared on the full daily history of JBG SMITH Properties. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 1.0%, MDD -1.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -8.7%, drawdown -70.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 1.0%, MDD -1.3%, Sharpe 0.56, 0% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 69.0%p (CAGR 1.0%, MDD -1.3%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=10, threshold=0.24 |
1.0% | -1.3% | 0.56 | 0.77 | 1.1x | 4 | 0% |
| 볼린저 밴드 돌파 n=28, k=3 |
0.8% | -18.1% | 0.16 | 0.05 | 1.1x | 6 | 4% |
| Supertrend period=14, mult=4.4 |
-0.4% | -39.1% | 0.06 | -0.01 | 1.0x | 26 | 39% |
| Donchian 채널 돌파 entryN=55, exitN=20 |
-0.6% | -35.2% | 0.03 | -0.02 | 0.9x | 24 | 28% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=26, mult=3.5 |
-0.2% | -11.2% | -0.02 | -0.02 | 1.0x | 4 | 1% |
| SMA 크로스오버 fast=8, slow=186 |
-1.9% | -35.2% | -0.04 | -0.05 | 0.8x | 18 | 37% |
| EMA 크로스오버 fast=27, slow=181 |
-2.1% | -45.5% | -0.06 | -0.05 | 0.8x | 14 | 39% |
| ADX / DI 방향성 period=11, threshold=32 |
-2.6% | -26.1% | -0.37 | -0.10 | 0.8x | 42 | 8% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-11.8% | -75.8% | -0.50 | -0.16 | 0.3x | 174 | 50% |
| MACD fast=8, slow=24, signal=13 |
-14.8% | -78.8% | -0.68 | -0.19 | 0.2x | 176 | 51% |
| Buy and hold | -8.7% | -70.3% | -0.13 | -0.12 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 10-day return is greater than 24%
- Sell — Sell when the 10-day return drops to 24% or below