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. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.8%, MDD -18.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.0%, drawdown -90.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.3%, MDD -55.9%, Sharpe 0.29, 54% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.3%, MDD -69.4%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 0.8%, MDD -18.3%, exposure 1%).
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 |
4.3% | -55.9% | 0.29 | 0.08 | 2.4x | 29 | 54% |
| SMA 크로스오버 fast=59, slow=80 |
4.3% | -69.4% | 0.29 | 0.06 | 2.5x | 83 | 55% |
| ROC 모멘텀 n=124, threshold=-0.15 |
2.1% | -76.7% | 0.22 | 0.03 | 1.6x | 113 | 80% |
| 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 |
0.8% | -68.6% | 0.15 | 0.01 | 1.2x | 61 | 54% |
| Supertrend period=24, mult=5 |
-0.9% | -77.7% | 0.13 | -0.01 | 0.8x | 53 | 54% |
| MACD fast=17, slow=27, signal=17 |
-3.3% | -71.5% | 0.08 | -0.05 | 0.5x | 281 | 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 |
-11.2% | -95.1% | -0.22 | -0.12 | 0.1x | 401 | 51% |
| Buy and hold | 1.0% | -90.0% | 0.26 | 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