Trend-Following Backtester · Guide · backtest 한국어
equity · US
LXP Industrial Trust backtest
10 trend-following strategies were compared on the full daily history of LXP Industrial Trust. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.9%, MDD -41.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.2%, drawdown -92.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -42.8%, Sharpe 0.33, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 49.2%p (CAGR 2.9%, MDD -41.1%, exposure 54%).
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=37, slow=248 |
4.5% | -42.8% | 0.33 | 0.11 | 4.3x | 37 | 55% |
| EMA 크로스오버 fast=56, slow=108 |
2.9% | -41.1% | 0.25 | 0.07 | 2.6x | 51 | 54% |
| Donchian 채널 돌파 entryN=11, exitN=71 |
-0.4% | -83.1% | 0.14 | -0.00 | 0.9x | 111 | 83% |
| Supertrend period=19, mult=3.7 |
-1.2% | -72.7% | 0.06 | -0.02 | 0.7x | 137 | 53% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-2.4% | -80.1% | 0.03 | -0.03 | 0.5x | 263 | 53% |
| ADX / DI 방향성 period=26, threshold=39 |
0.0% | -6.8% | 0.01 | 0.00 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=147, threshold=-0.01 |
-2.8% | -81.3% | -0.04 | -0.03 | 0.4x | 329 | 59% |
| MACD fast=17, slow=58, signal=18 |
-5.0% | -86.8% | -0.07 | -0.06 | 0.2x | 367 | 51% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=11, mult=3.1 |
-2.2% | -63.5% | -0.10 | -0.03 | 0.5x | 95 | 27% |
| 볼린저 밴드 돌파 n=55, k=1.8 |
-4.8% | -84.0% | -0.21 | -0.06 | 0.2x | 161 | 35% |
| Buy and hold | 1.2% | -92.0% | 0.22 | 0.01 | 1.5x | 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 37-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 37-day average falls below the 248-day average