Trend-Following Backtester · Guide · backtest 한국어
equity · US
Terreno Realty Corporation backtest
10 trend-following strategies were compared on the full daily history of Terreno Realty Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -42.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.8%, MDD -47.6%, Sharpe 0.40, 64% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=65, slow=155 |
5.8% | -47.6% | 0.40 | 0.12 | 2.5x | 25 | 64% |
| ROC 모멘텀 n=200, threshold=-0.11 |
5.4% | -55.3% | 0.36 | 0.10 | 2.4x | 41 | 84% |
| ADX / DI 방향성 period=35, threshold=23 |
1.4% | -15.6% | 0.30 | 0.09 | 1.3x | 16 | 7% |
| EMA 크로스오버 fast=50, slow=198 |
3.1% | -60.7% | 0.26 | 0.05 | 1.7x | 19 | 68% |
| Donchian 채널 돌파 entryN=119, exitN=76 |
2.2% | -39.1% | 0.23 | 0.06 | 1.4x | 23 | 49% |
| Supertrend period=11, mult=3.6 |
1.9% | -34.0% | 0.20 | 0.06 | 1.4x | 72 | 53% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.3% | -8.2% | 0.11 | 0.03 | 1.0x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=8, mult=3.5 |
0.2% | -23.6% | 0.06 | 0.01 | 1.0x | 38 | 22% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.4% | -44.1% | -0.00 | -0.03 | 0.8x | 152 | 55% |
| MACD fast=19, slow=48, signal=14 |
-3.8% | -49.6% | -0.16 | -0.08 | 0.5x | 224 | 50% |
| Buy and hold | 7.9% | -42.6% | 0.44 | 0.19 | 3.5x | 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 65-day average price crosses above the 155-day average
- Sell — Sell (to cash) when the 65-day average falls below the 155-day average