Trend-Following Backtester · Guide · backtest 한국어
equity · US
Simon Property Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Simon Property Group, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.6%, MDD -46.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.3%, drawdown -80.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.5%, MDD -50.1%, Sharpe 0.51, 65% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 7.6%, MDD -46.3%, exposure 64%).
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=54, slow=170 |
8.5% | -50.1% | 0.51 | 0.17 | 14.6x | 47 | 65% |
| EMA 크로스오버 fast=65, slow=216 |
7.6% | -46.3% | 0.50 | 0.16 | 10.9x | 31 | 64% |
| ROC 모멘텀 n=100, threshold=-0.15 |
7.7% | -63.1% | 0.43 | 0.12 | 11.5x | 103 | 91% |
| Donchian 채널 돌파 entryN=41, exitN=63 |
5.7% | -41.6% | 0.36 | 0.14 | 6.1x | 65 | 71% |
| Supertrend period=29, mult=3.3 |
4.9% | -62.6% | 0.34 | 0.08 | 4.8x | 178 | 59% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=15, mult=3.8 |
2.7% | -41.0% | 0.27 | 0.07 | 2.4x | 74 | 33% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.3% | -13.0% | 0.10 | 0.02 | 1.1x | 2 | 0% |
| ADX / DI 방향성 period=37, threshold=16 |
-1.2% | -39.0% | -0.04 | -0.03 | 0.7x | 136 | 20% |
| MACD fast=8, slow=22, signal=19 |
-5.5% | -90.4% | -0.13 | -0.06 | 0.2x | 606 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-7.4% | -93.2% | -0.23 | -0.08 | 0.1x | 688 | 56% |
| Buy and hold | 7.3% | -80.7% | 0.38 | 0.09 | 10.1x | 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 54-day average price crosses above the 170-day average
- Sell — Sell (to cash) when the 54-day average falls below the 170-day average