Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xenia Hotels & Resorts, Inc. backtest
10 trend-following strategies were compared on the full daily history of Xenia Hotels & Resorts, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.1%, MDD -19.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.8%, drawdown -73.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -35.4%, Sharpe 0.38, 48% exposure.
CAGR reference leader: Supertrend — CAGR 6.7%, MDD -61.6%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 38.4%p (CAGR 2.1%, MDD -19.5%, exposure 12%).
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=23, slow=104 |
5.7% | -35.4% | 0.38 | 0.16 | 1.9x | 33 | 48% |
| Supertrend period=11, mult=3.4 |
6.7% | -61.6% | 0.37 | 0.11 | 2.1x | 50 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=72 |
5.4% | -61.6% | 0.32 | 0.09 | 1.8x | 31 | 77% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=4 |
2.1% | -19.5% | 0.25 | 0.11 | 1.3x | 14 | 12% |
| ADX / DI 방향성 period=28, threshold=15 |
2.5% | -40.0% | 0.23 | 0.06 | 1.3x | 58 | 20% |
| EMA 크로스오버 fast=34, slow=66 |
0.1% | -53.9% | 0.11 | 0.00 | 1.0x | 35 | 50% |
| ROC 모멘텀 n=78, threshold=0.01 |
-0.2% | -52.8% | 0.10 | -0.00 | 1.0x | 125 | 47% |
| 볼린저 밴드 돌파 n=35, k=2.6 |
-0.7% | -42.2% | 0.03 | -0.02 | 0.9x | 40 | 19% |
| MACD fast=15, slow=45, signal=12 |
-4.4% | -60.2% | -0.02 | -0.07 | 0.6x | 166 | 48% |
| Parabolic SAR step=0.025, maxStep=0.24 |
-7.6% | -74.3% | -0.14 | -0.10 | 0.4x | 289 | 51% |
| Buy and hold | -0.8% | -73.8% | 0.18 | -0.01 | 0.9x | 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 23-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 23-day average falls below the 104-day average