Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vornado Realty Trust backtest
10 trend-following strategies were compared on the full daily history of Vornado Realty Trust. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.7%, MDD -50.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.7%, drawdown -87.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.9%, MDD -63.7%, Sharpe 0.55, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 8.7%, MDD -50.2%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=92, slow=228 |
8.9% | -63.7% | 0.55 | 0.14 | 53.4x | 43 | 64% |
| SMA 크로스오버 fast=47, slow=218 |
8.7% | -50.2% | 0.51 | 0.17 | 48.4x | 57 | 62% |
| ADX / DI 방향성 period=65, threshold=14 |
4.9% | -35.3% | 0.44 | 0.14 | 9.1x | 76 | 26% |
| Donchian 채널 돌파 entryN=25, exitN=63 |
7.0% | -74.1% | 0.40 | 0.09 | 22.9x | 127 | 75% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=3.9 |
4.1% | -44.6% | 0.37 | 0.09 | 6.5x | 138 | 30% |
| ROC 모멘텀 n=137, threshold=-0.02 |
5.4% | -73.0% | 0.36 | 0.07 | 11.3x | 309 | 66% |
| 볼린저 밴드 돌파 n=40, k=3 |
2.9% | -43.7% | 0.32 | 0.07 | 3.8x | 98 | 17% |
| Supertrend period=8, mult=4.6 |
4.2% | -77.7% | 0.30 | 0.05 | 6.8x | 225 | 55% |
| MACD fast=16, slow=22, signal=9 |
-0.8% | -88.6% | 0.08 | -0.01 | 0.7x | 830 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.1% | -91.7% | 0.02 | -0.02 | 0.4x | 392 | 54% |
| Buy and hold | 8.7% | -87.5% | 0.42 | 0.10 | 47.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 92-day EMA crosses above the 228-day EMA
- Sell — Sell when the 92-day EMA falls below the 228-day EMA