Trend-Following Backtester · Guide · backtest 한국어
equity · US
Macerich Company (The) backtest
10 trend-following strategies were compared on the full daily history of Macerich Company (The). 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.5%, MDD -48.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.1%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.0%, MDD -64.1%, Sharpe 0.41, 57% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR 6.5%, MDD -48.3%, exposure 50%).
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=51, slow=173 |
7.0% | -64.1% | 0.41 | 0.11 | 9.0x | 51 | 57% |
| Donchian 채널 돌파 entryN=68, exitN=55 |
6.5% | -48.3% | 0.39 | 0.13 | 7.6x | 59 | 50% |
| EMA 크로스오버 fast=52, slow=133 |
6.2% | -52.2% | 0.38 | 0.12 | 7.0x | 47 | 59% |
| Supertrend period=10, mult=5 |
4.7% | -68.4% | 0.31 | 0.07 | 4.4x | 99 | 51% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=1.4 |
3.9% | -55.1% | 0.28 | 0.07 | 3.5x | 241 | 41% |
| ROC 모멘텀 n=171, threshold=-0.03 |
3.6% | -64.5% | 0.27 | 0.06 | 3.1x | 203 | 65% |
| MACD fast=21, slow=59, signal=23 |
3.0% | -82.7% | 0.25 | 0.04 | 2.6x | 298 | 53% |
| 볼린저 밴드 돌파 n=41, k=1.7 |
2.7% | -63.4% | 0.23 | 0.04 | 2.4x | 201 | 38% |
| ADX / DI 방향성 period=25, threshold=19 |
2.2% | -48.3% | 0.21 | 0.05 | 2.0x | 148 | 23% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-2.3% | -80.2% | 0.06 | -0.03 | 0.5x | 570 | 52% |
| Buy and hold | 1.1% | -94.8% | 0.23 | 0.01 | 1.4x | 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 51-day average price crosses above the 173-day average
- Sell — Sell (to cash) when the 51-day average falls below the 173-day average