Trend-Following Backtester · Guide · backtest 한국어
equity · US
Stag Industrial, Inc. backtest
10 trend-following strategies were compared on the full daily history of Stag Industrial, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.7%, drawdown -45.3%).
Sharpe leader (same as main): Supertrend — CAGR 5.5%, MDD -29.8%, Sharpe 0.40, 61% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.7%, MDD -37.6%, exposure 79%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=4.6 |
5.5% | -29.8% | 0.40 | 0.18 | 2.3x | 43 | 61% |
| Donchian 채널 돌파 entryN=17, exitN=72 |
5.7% | -37.6% | 0.37 | 0.15 | 2.3x | 41 | 79% |
| ROC 모멘텀 Hold-like · Exposure 96% n=7, threshold=-0.07 |
5.5% | -48.5% | 0.35 | 0.11 | 2.3x | 94 | 96% |
| 볼린저 밴드 돌파 n=75, k=1.7 |
3.8% | -33.5% | 0.34 | 0.11 | 1.8x | 50 | 44% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=21, mult=1.4 |
3.6% | -41.9% | 0.31 | 0.09 | 1.7x | 88 | 50% |
| SMA 크로스오버 fast=12, slow=216 |
3.8% | -37.8% | 0.31 | 0.10 | 1.8x | 35 | 67% |
| EMA 크로스오버 fast=28, slow=204 |
3.3% | -50.6% | 0.27 | 0.07 | 1.6x | 29 | 69% |
| MACD fast=22, slow=56, signal=31 |
2.9% | -33.9% | 0.26 | 0.09 | 1.6x | 111 | 52% |
| ADX / DI 방향성 period=35, threshold=26 |
0.5% | -14.8% | 0.11 | 0.03 | 1.1x | 12 | 4% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.6% | -34.9% | 0.05 | -0.02 | 0.9x | 144 | 57% |
| Buy and hold | 7.7% | -45.3% | 0.42 | 0.17 | 3.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)