Trend-Following Backtester · Guide · backtest 한국어
equity · US
UMH Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of UMH Properties, Inc.. 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 6.5%, drawdown -71.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -63.4%, Sharpe 0.32, 56% 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=57, slow=180 |
4.8% | -63.4% | 0.32 | 0.08 | 7.1x | 68 | 56% |
| ADX / DI 방향성 period=30, threshold=23 |
3.4% | -55.6% | 0.28 | 0.06 | 3.9x | 42 | 23% |
| EMA 크로스오버 fast=37, slow=231 |
3.0% | -71.1% | 0.24 | 0.04 | 3.3x | 58 | 59% |
| Donchian 채널 돌파 entryN=112, exitN=103 |
2.0% | -60.8% | 0.20 | 0.03 | 2.3x | 40 | 55% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
0.7% | -30.3% | 0.12 | 0.02 | 1.3x | 48 | 5% |
| Supertrend period=8, mult=5 |
0.2% | -79.6% | 0.12 | 0.00 | 1.1x | 133 | 54% |
| ROC 모멘텀 n=129, threshold=0.05 |
-1.0% | -80.0% | 0.05 | -0.01 | 0.7x | 356 | 44% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-2.4% | -94.0% | -0.00 | -0.03 | 0.4x | 474 | 53% |
| MACD fast=22, slow=30, signal=23 |
-3.2% | -92.2% | -0.06 | -0.03 | 0.3x | 451 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=3.9 |
-1.7% | -66.1% | -0.08 | -0.03 | 0.5x | 82 | 15% |
| Buy and hold | 6.5% | -71.1% | 0.36 | 0.09 | 13.4x | 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 57-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 57-day average falls below the 180-day average