Trend-Following Backtester · Guide · backtest 한국어
equity · US
NexPoint Residential Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of NexPoint Residential Trust, Inc.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.8%, MDD -12.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.3%, drawdown -74.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.8%, MDD -12.8%, Sharpe 0.81, 18% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 13.7%, MDD -32.9%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 61.7%p (CAGR 8.8%, MDD -12.8%, exposure 18%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=54, k=3.1 |
8.8% | -12.8% | 0.81 | 0.69 | 2.6x | 10 | 18% |
| SMA 크로스오버 fast=10, slow=167 |
13.7% | -32.9% | 0.73 | 0.42 | 4.3x | 24 | 54% |
| Donchian 채널 돌파 entryN=94, exitN=44 |
11.4% | -28.2% | 0.70 | 0.40 | 3.4x | 16 | 42% |
| EMA 크로스오버 fast=30, slow=178 |
13.1% | -37.9% | 0.66 | 0.35 | 4.1x | 8 | 55% |
| ROC 모멘텀 n=117, threshold=0.05 |
10.9% | -30.7% | 0.65 | 0.35 | 3.2x | 72 | 49% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=8, mult=3.9 |
7.3% | -24.1% | 0.60 | 0.30 | 2.2x | 18 | 24% |
| Supertrend period=27, mult=4.8 |
9.5% | -49.6% | 0.53 | 0.19 | 2.8x | 28 | 60% |
| Parabolic SAR step=0.005, maxStep=0.32 |
4.2% | -46.7% | 0.30 | 0.09 | 1.6x | 108 | 56% |
| ADX / DI 방향성 period=36, threshold=18 |
2.6% | -29.0% | 0.29 | 0.09 | 1.3x | 18 | 17% |
| MACD fast=18, slow=26, signal=13 |
-0.1% | -56.7% | 0.10 | -0.00 | 1.0x | 168 | 49% |
| Buy and hold | 5.3% | -74.4% | 0.32 | 0.07 | 1.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 54-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 54-day middle average