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 -1.1%, drawdown -75.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.6%, MDD -16.2%, Sharpe 0.43, 8% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 3.9%, MDD -18.4%, exposure 21%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.7%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 | 8% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=20, mult=3.4 |
3.9% | -18.4% | 0.39 | 0.21 | 1.6x | 18 | 21% |
| Donchian 채널 돌파 entryN=61, exitN=13 |
3.1% | -21.6% | 0.30 | 0.14 | 1.4x | 36 | 27% |
| ADX / DI 방향성 period=31, threshold=22 |
2.0% | -15.9% | 0.30 | 0.12 | 1.3x | 18 | 9% |
| SMA 크로스오버 fast=43, slow=58 |
0.5% | -41.2% | 0.12 | 0.01 | 1.1x | 58 | 48% |
| ROC 모멘텀 n=171, threshold=0.14 |
0.5% | -37.7% | 0.10 | 0.01 | 1.1x | 74 | 23% |
| EMA 크로스오버 fast=44, slow=157 |
-0.1% | -37.2% | 0.08 | -0.00 | 1.0x | 23 | 49% |
| Supertrend period=22, mult=4.2 |
-1.1% | -47.1% | 0.05 | -0.02 | 0.9x | 40 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-6.2% | -59.4% | -0.18 | -0.10 | 0.5x | 106 | 49% |
| MACD fast=18, slow=51, signal=17 |
-6.5% | -65.4% | -0.22 | -0.10 | 0.5x | 126 | 49% |
| Buy and hold | -1.1% | -75.9% | 0.13 | -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