Trend-Following Backtester · Guide · backtest 한국어
equity · US
Urban Edge Properties backtest
10 trend-following strategies were compared on the full daily history of Urban Edge Properties. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -15.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.5%, drawdown -75.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.6%, MDD -16.2%, Sharpe 0.43, 9% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.0%, MDD -18.4%, exposure 21%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 59.6%p (CAGR 2.0%, MDD -15.9%, exposure 9%).
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=53, k=3.4 |
3.6% | -16.2% | 0.43 | 0.22 | 1.5x | 6 | 9% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=3.4 |
4.0% | -18.4% | 0.40 | 0.22 | 1.6x | 17 | 21% |
| Donchian 채널 돌파 entryN=61, exitN=13 |
3.3% | -21.6% | 0.32 | 0.15 | 1.4x | 35 | 27% |
| ADX / DI 방향성 period=31, threshold=22 |
2.0% | -15.9% | 0.30 | 0.12 | 1.3x | 18 | 9% |
| ROC 모멘텀 n=171, threshold=0.14 |
1.3% | -32.4% | 0.17 | 0.04 | 1.2x | 69 | 23% |
| SMA 크로스오버 fast=43, slow=58 |
0.9% | -41.2% | 0.14 | 0.02 | 1.1x | 57 | 48% |
| EMA 크로스오버 fast=44, slow=157 |
0.5% | -37.2% | 0.11 | 0.01 | 1.1x | 23 | 48% |
| Supertrend period=22, mult=4.2 |
-0.9% | -47.1% | 0.06 | -0.02 | 0.9x | 39 | 52% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-6.0% | -59.4% | -0.17 | -0.10 | 0.5x | 105 | 49% |
| MACD fast=18, slow=51, signal=17 |
-6.5% | -65.4% | -0.22 | -0.10 | 0.5x | 126 | 49% |
| Buy and hold | -0.5% | -75.9% | 0.15 | -0.01 | 0.9x | 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 53-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 53-day middle average