Trend-Following Backtester · Guide · backtest 한국어
equity · US
Diamondrock Hospitality Company backtest
10 trend-following strategies were compared on the full daily history of Diamondrock Hospitality Company. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.7%, MDD -13.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 0.7%, drawdown -90.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.9%, MDD -55.9%, Sharpe 0.28, 54% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -69.4%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 0.7%, MDD -13.2%, exposure 0%).
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=81, exitN=77 |
3.9% | -55.9% | 0.28 | 0.07 | 2.2x | 29 | 54% |
| SMA 크로스오버 fast=59, slow=80 |
4.0% | -69.4% | 0.28 | 0.06 | 2.3x | 83 | 55% |
| ROC 모멘텀 n=124, threshold=-0.15 |
1.7% | -76.7% | 0.21 | 0.02 | 1.4x | 113 | 81% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.7% | -13.2% | 0.18 | 0.05 | 1.2x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=23, mult=3.4 |
0.8% | -18.3% | 0.18 | 0.04 | 1.2x | 6 | 1% |
| EMA 크로스오버 fast=30, slow=100 |
0.4% | -68.6% | 0.14 | 0.01 | 1.1x | 61 | 54% |
| Supertrend period=24, mult=5 |
-1.2% | -77.7% | 0.12 | -0.02 | 0.8x | 53 | 54% |
| MACD fast=17, slow=27, signal=17 |
-3.6% | -71.5% | 0.07 | -0.05 | 0.5x | 282 | 51% |
| ADX / DI 방향성 period=15, threshold=30 |
-0.3% | -21.0% | 0.03 | -0.01 | 0.9x | 56 | 7% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-11.5% | -95.1% | -0.24 | -0.12 | 0.1x | 403 | 51% |
| Buy and hold | 0.7% | -90.0% | 0.25 | 0.01 | 1.2x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 77 days