Trend-Following Backtester · Guide · backtest 한국어
equity · US
Safehold Inc. New backtest
10 trend-following strategies were compared on the full daily history of Safehold Inc. New. 10 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 8.5%, MDD -64.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.3%, drawdown -99.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.5%, MDD -64.0%, Sharpe 0.44, 16% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 17.8%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 8.5%, MDD -64.0%, exposure 16%).
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=31, k=3 |
8.5% | -64.0% | 0.44 | 0.13 | 19.6x | 92 | 16% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=25, mult=3.4 |
4.6% | -75.5% | 0.30 | 0.06 | 5.2x | 108 | 21% |
| SMA 크로스오버 fast=31, slow=203 |
-1.1% | -96.7% | 0.27 | -0.01 | 0.7x | 63 | 49% |
| EMA 크로스오버 fast=54, slow=125 |
-3.6% | -97.3% | 0.19 | -0.04 | 0.3x | 57 | 48% |
| MACD fast=22, slow=43, signal=19 |
-6.8% | -99.3% | 0.19 | -0.07 | 0.1x | 374 | 53% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.9% | -97.3% | 0.18 | -0.05 | 0.2x | 277 | 50% |
| Supertrend period=10, mult=5 |
-6.4% | -99.1% | 0.16 | -0.06 | 0.1x | 145 | 53% |
| ROC 모멘텀 n=109, threshold=0.09 |
-5.0% | -98.8% | 0.15 | -0.05 | 0.2x | 316 | 37% |
| Donchian 채널 돌파 entryN=107, exitN=66 |
-5.2% | -97.9% | 0.13 | -0.05 | 0.1x | 55 | 40% |
| ADX / DI 방향성 period=24, threshold=12 |
-7.6% | -98.8% | 0.11 | -0.08 | 0.1x | 380 | 42% |
| Buy and hold | -9.3% | -99.4% | 0.24 | -0.09 | 0.0x | 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 31-day average (3× volatility)
- Sell — Sell when the close falls back to the 31-day middle average