Trend-Following Backtester · Guide · backtest 한국어
equity · US
One Liberty Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of One Liberty Properties, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.9%, MDD -48.5%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.3%, drawdown -89.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -48.5%, Sharpe 0.30, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 41.1%p (CAGR 3.9%, MDD -48.5%, exposure 53%).
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=66, slow=182 |
3.9% | -48.5% | 0.30 | 0.08 | 5.3x | 57 | 53% |
| Donchian 채널 돌파 entryN=66, exitN=65 |
3.6% | -54.8% | 0.28 | 0.07 | 4.5x | 81 | 53% |
| EMA 크로스오버 fast=55, slow=99 |
2.6% | -55.3% | 0.23 | 0.05 | 3.0x | 73 | 53% |
| Supertrend period=21, mult=4.8 |
1.1% | -78.4% | 0.15 | 0.01 | 1.6x | 203 | 53% |
| ADX / DI 방향성 period=50, threshold=24 |
0.2% | -22.4% | 0.07 | 0.01 | 1.1x | 24 | 7% |
| ROC 모멘텀 n=124, threshold=-0.04 |
-1.1% | -76.1% | 0.04 | -0.01 | 0.6x | 333 | 66% |
| 볼린저 밴드 돌파 n=55, k=3.2 |
-0.5% | -53.6% | 0.01 | -0.01 | 0.8x | 62 | 12% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.6% | -89.0% | -0.01 | -0.03 | 0.3x | 317 | 50% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=9, mult=4 |
-0.4% | -49.8% | -0.02 | -0.01 | 0.8x | 56 | 4% |
| MACD fast=13, slow=59, signal=16 |
-8.3% | -98.3% | -0.24 | -0.08 | 0.0x | 616 | 52% |
| Buy and hold | 1.3% | -89.6% | 0.20 | 0.01 | 1.7x | 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 66-day average price crosses above the 182-day average
- Sell — Sell (to cash) when the 66-day average falls below the 182-day average