Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kimco Realty Corporation (HC) backtest
10 trend-following strategies were compared on the full daily history of Kimco Realty Corporation (HC). 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.9%, MDD -50.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -87.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.9%, MDD -50.2%, Sharpe 0.31, 67% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.1%, MDD -56.1%, exposure 65%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 36.7%p (CAGR 3.9%, MDD -50.2%, exposure 67%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=52, slow=155 |
3.9% | -50.2% | 0.31 | 0.08 | 3.8x | 51 | 67% |
| SMA 크로스오버 fast=51, slow=171 |
4.1% | -56.1% | 0.31 | 0.07 | 4.1x | 61 | 65% |
| ROC 모멘텀 n=137, threshold=-0.03 |
3.9% | -54.3% | 0.29 | 0.07 | 3.7x | 225 | 73% |
| ADX / DI 방향성 period=48, threshold=36 |
0.3% | -4.8% | 0.28 | 0.06 | 1.1x | 2 | 0% |
| Donchian 채널 돌파 entryN=13, exitN=63 |
3.7% | -81.7% | 0.27 | 0.05 | 3.5x | 99 | 83% |
| 볼린저 밴드 돌파 n=19, k=3.4 |
0.5% | -7.5% | 0.20 | 0.07 | 1.2x | 6 | 1% |
| Supertrend period=12, mult=3.5 |
1.0% | -65.8% | 0.15 | 0.02 | 1.4x | 199 | 59% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-0.3% | -68.2% | 0.09 | -0.00 | 0.9x | 303 | 58% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=2.5 |
0.4% | -50.9% | 0.09 | 0.01 | 1.1x | 165 | 39% |
| MACD fast=17, slow=39, signal=22 |
-0.7% | -77.1% | 0.08 | -0.01 | 0.8x | 407 | 50% |
| Buy and hold | 5.1% | -87.0% | 0.32 | 0.06 | 5.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 52-day EMA crosses above the 155-day EMA
- Sell — Sell when the 52-day EMA falls below the 155-day EMA