Trend-Following Backtester · Guide · backtest 한국어
equity · US
DraftKings Inc. backtest
10 trend-following strategies were compared on the full daily history of DraftKings Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 25.7%, MDD -31.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 13.2%, drawdown -85.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 29.1%, MDD -39.6%, Sharpe 0.89, 40% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 31.5%, MDD -44.5%, exposure 44%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 25.7%, MDD -31.9%, exposure 41%).
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=30, k=1.5 |
29.1% | -39.6% | 0.89 | 0.73 | 6.0x | 52 | 40% |
| ROC 모멘텀 n=147, threshold=0.05 |
31.5% | -44.5% | 0.87 | 0.71 | 6.8x | 44 | 44% |
| ADX / DI 방향성 period=32, threshold=22 |
18.7% | -35.9% | 0.83 | 0.52 | 3.3x | 12 | 14% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=12, mult=1.6 |
25.7% | -31.9% | 0.81 | 0.81 | 5.0x | 46 | 41% |
| Donchian 채널 돌파 entryN=104, exitN=63 |
27.2% | -51.7% | 0.79 | 0.53 | 5.4x | 8 | 45% |
| EMA 크로스오버 fast=45, slow=101 |
26.9% | -53.1% | 0.76 | 0.51 | 5.3x | 10 | 51% |
| SMA 크로스오버 fast=48, slow=168 |
20.4% | -63.6% | 0.65 | 0.32 | 3.7x | 10 | 49% |
| Supertrend period=17, mult=3.4 |
18.1% | -57.6% | 0.62 | 0.31 | 3.2x | 44 | 49% |
| Parabolic SAR step=0.055, maxStep=0.22 |
15.2% | -64.1% | 0.54 | 0.24 | 2.7x | 255 | 52% |
| MACD fast=15, slow=38, signal=14 |
8.9% | -79.9% | 0.42 | 0.11 | 1.8x | 96 | 51% |
| Buy and hold | 13.2% | -85.7% | 0.51 | 0.15 | 2.4x | 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 30-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 30-day middle average