Trend-Following Backtester · Guide · backtest 한국어
equity · US
Rexford Industrial Realty, Inc. backtest
10 trend-following strategies were compared on the full daily history of Rexford Industrial Realty, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 7.2%, MDD -21.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -62.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -36.4%, Sharpe 0.55, 58% exposure.
Return/drawdown alternative: MACD — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 7.2%, MDD -21.3%, exposure 48%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=70, slow=270 |
8.9% | -36.4% | 0.55 | 0.24 | 3.0x | 8 | 58% |
| MACD fast=15, slow=73, signal=30 |
7.2% | -21.3% | 0.52 | 0.34 | 2.5x | 101 | 48% |
| Supertrend period=25, mult=4.4 |
7.5% | -39.3% | 0.49 | 0.19 | 2.6x | 37 | 67% |
| Donchian 채널 돌파 entryN=16, exitN=61 |
7.1% | -45.2% | 0.44 | 0.16 | 2.4x | 35 | 81% |
| SMA 크로스오버 fast=6, slow=206 |
6.1% | -45.3% | 0.44 | 0.13 | 2.2x | 31 | 60% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=24, mult=1.3 |
4.4% | -34.2% | 0.38 | 0.13 | 1.8x | 77 | 47% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.2% | -36.9% | 0.27 | 0.09 | 1.5x | 119 | 55% |
| ADX / DI 방향성 period=35, threshold=20 |
1.7% | -21.7% | 0.27 | 0.08 | 1.3x | 30 | 17% |
| ROC 모멘텀 n=77, threshold=0 |
2.1% | -55.9% | 0.21 | 0.04 | 1.3x | 127 | 59% |
| 볼린저 밴드 돌파 n=49, k=2.4 |
1.5% | -31.5% | 0.19 | 0.05 | 1.2x | 45 | 32% |
| Buy and hold | 7.8% | -62.4% | 0.43 | 0.13 | 2.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 70-day EMA crosses above the 270-day EMA
- Sell — Sell when the 70-day EMA falls below the 270-day EMA