Trend-Following Backtester · Guide · backtest 한국어
equity · US
Public Storage backtest
10 trend-following strategies were compared on the full daily history of Public Storage. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -49.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -71.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -49.1%, Sharpe 0.40, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 22.0%p (CAGR 6.0%, MDD -49.1%, exposure 62%).
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=40, slow=192 |
6.0% | -49.1% | 0.40 | 0.12 | 14.7x | 61 | 62% |
| EMA 크로스오버 fast=50, slow=175 |
5.6% | -53.8% | 0.38 | 0.10 | 12.3x | 47 | 63% |
| Keltner 채널 돌파 emaPeriod=204, atrPeriod=15, mult=3.6 |
4.6% | -43.6% | 0.37 | 0.10 | 7.7x | 65 | 49% |
| Donchian 채널 돌파 entryN=104, exitN=77 |
2.5% | -52.5% | 0.23 | 0.05 | 3.2x | 65 | 53% |
| ROC 모멘텀 n=139, threshold=-0.02 |
1.8% | -70.7% | 0.19 | 0.03 | 2.3x | 377 | 68% |
| ADX / DI 방향성 period=50, threshold=20 |
0.7% | -30.9% | 0.15 | 0.02 | 1.4x | 28 | 8% |
| Supertrend period=22, mult=5 |
0.7% | -58.7% | 0.13 | 0.01 | 1.4x | 135 | 56% |
| 볼린저 밴드 돌파 n=34, k=3.2 |
-0.3% | -39.4% | -0.01 | -0.01 | 0.9x | 50 | 6% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-4.5% | -89.2% | -0.15 | -0.05 | 0.1x | 392 | 54% |
| MACD fast=19, slow=30, signal=17 |
-5.8% | -95.0% | -0.22 | -0.06 | 0.1x | 612 | 51% |
| Buy and hold | 6.9% | -71.1% | 0.38 | 0.10 | 21.6x | 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 40-day average price crosses above the 192-day average
- Sell — Sell (to cash) when the 40-day average falls below the 192-day average