Trend-Following Backtester · Guide · backtest 한국어
equity · US
Caesars Entertainment, Inc. backtest
10 trend-following strategies were compared on the full daily history of Caesars Entertainment, Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 19.2%, MDD -57.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 17.4%, drawdown -89.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.8%, MDD -81.6%, Sharpe 0.76, 81% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 8.4%p higher than buy and hold, while drawdown improves by 8.2%p (CAGR 19.2%, MDD -57.2%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=67 |
25.8% | -81.6% | 0.76 | 0.32 | 15.5x | 27 | 81% |
| EMA 크로스오버 fast=6, slow=88 |
21.0% | -61.3% | 0.75 | 0.34 | 9.7x | 49 | 60% |
| Supertrend period=22, mult=4.9 |
21.9% | -80.4% | 0.73 | 0.27 | 10.6x | 29 | 69% |
| SMA 크로스오버 fast=10, slow=98 |
19.2% | -57.2% | 0.69 | 0.34 | 8.1x | 33 | 59% |
| MACD fast=12, slow=50, signal=13 |
18.0% | -67.9% | 0.63 | 0.27 | 7.2x | 164 | 47% |
| ADX / DI 방향성 period=21, threshold=17 |
13.3% | -50.2% | 0.59 | 0.26 | 4.4x | 110 | 37% |
| ROC 모멘텀 n=98, threshold=0.16 |
12.7% | -55.9% | 0.58 | 0.23 | 4.1x | 114 | 40% |
| Parabolic SAR step=0.01, maxStep=0.12 |
10.7% | -77.1% | 0.46 | 0.14 | 3.4x | 171 | 54% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=10, mult=1.6 |
7.1% | -38.5% | 0.45 | 0.19 | 2.3x | 82 | 22% |
| 볼린저 밴드 돌파 n=23, k=2 |
8.0% | -45.7% | 0.42 | 0.18 | 2.5x | 96 | 34% |
| Buy and hold | 17.4% | -89.8% | 0.57 | 0.19 | 6.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 67 days