Trend-Following Backtester · Guide · backtest 한국어
equity · US
Piedmont Realty Trust, Inc. backtest
10 trend-following strategies were compared on the full daily history of Piedmont Realty Trust, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.3%, MDD -6.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.9%, drawdown -79.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.0%, MDD -9.2%, Sharpe 0.26, 3% exposure.
CAGR reference leader: Supertrend — CAGR 2.8%, MDD -42.8%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 70.2%p (CAGR 0.3%, MDD -6.0%, exposure 1%).
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=37, k=3.5 |
1.0% | -9.2% | 0.26 | 0.11 | 1.2x | 4 | 3% |
| Supertrend period=8, mult=3.4 |
2.8% | -42.8% | 0.25 | 0.07 | 1.6x | 75 | 50% |
| ROC 모멘텀 n=75, threshold=0.21 |
0.7% | -18.1% | 0.14 | 0.04 | 1.1x | 41 | 5% |
| ADX / DI 방향성 period=35, threshold=33 |
0.3% | -6.0% | 0.13 | 0.05 | 1.0x | 2 | 1% |
| SMA 크로스오버 fast=11, slow=59 |
0.8% | -43.8% | 0.13 | 0.02 | 1.1x | 81 | 49% |
| EMA 크로스오버 fast=17, slow=69 |
-1.2% | -48.8% | 0.01 | -0.02 | 0.8x | 69 | 50% |
| Donchian 채널 돌파 entryN=84, exitN=71 |
-1.9% | -54.0% | -0.06 | -0.04 | 0.7x | 31 | 41% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=20, mult=2.2 |
-1.5% | -39.6% | -0.08 | -0.04 | 0.8x | 71 | 18% |
| MACD fast=22, slow=55, signal=21 |
-3.9% | -72.1% | -0.11 | -0.05 | 0.5x | 147 | 49% |
| Parabolic SAR step=0.01, maxStep=0.44 |
-6.4% | -80.4% | -0.25 | -0.08 | 0.3x | 237 | 50% |
| Buy and hold | -2.9% | -79.4% | 0.05 | -0.04 | 0.6x | 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 37-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 37-day middle average