Trend-Following Backtester · Guide · backtest 한국어
equity · US
Starwood Property Trust Inc. backtest
10 trend-following strategies were compared on the full daily history of Starwood Property Trust Inc.. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.0%, MDD -8.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.1%, drawdown -66.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.4%, MDD -10.6%, Sharpe 0.34, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 55.7%p (CAGR 1.0%, MDD -8.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=19, mult=2.6 |
1.4% | -10.6% | 0.34 | 0.13 | 1.3x | 10 | 3% |
| 볼린저 밴드 돌파 n=45, k=3.1 |
1.1% | -10.2% | 0.31 | 0.10 | 1.2x | 6 | 3% |
| ADX / DI 방향성 period=23, threshold=30 |
1.0% | -8.8% | 0.28 | 0.12 | 1.2x | 10 | 4% |
| ROC 모멘텀 n=42, threshold=0.16 |
1.2% | -14.0% | 0.21 | 0.08 | 1.2x | 44 | 4% |
| SMA 크로스오버 fast=12, slow=159 |
0.2% | -55.9% | 0.09 | 0.00 | 1.0x | 48 | 51% |
| Supertrend period=14, mult=5 |
0.0% | -40.2% | 0.07 | 0.00 | 1.0x | 44 | 44% |
| Donchian 채널 돌파 entryN=112, exitN=24 |
0.2% | -37.3% | 0.07 | 0.01 | 1.0x | 32 | 24% |
| EMA 크로스오버 fast=16, slow=126 |
-0.3% | -57.3% | 0.04 | -0.00 | 1.0x | 46 | 52% |
| MACD fast=18, slow=31, signal=15 |
-4.3% | -57.5% | -0.19 | -0.08 | 0.5x | 227 | 51% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-5.6% | -62.6% | -0.29 | -0.09 | 0.4x | 148 | 53% |
| Buy and hold | -0.1% | -66.3% | 0.13 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 13-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 13-day average