Trend-Following Backtester · Guide · backtest 한국어
equity · US
News Corporation backtest
10 trend-following strategies were compared on the full daily history of News Corporation. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -55.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.3%, MDD -9.6%, Sharpe 0.45, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.7%, MDD -46.8%, exposure 90%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=14, mult=3.2 |
2.3% | -9.6% | 0.45 | 0.24 | 1.4x | 14 | 6% |
| ADX / DI 방향성 period=37, threshold=25 |
2.2% | -8.9% | 0.41 | 0.25 | 1.3x | 6 | 4% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
1.8% | -10.9% | 0.35 | 0.16 | 1.3x | 12 | 6% |
| Donchian 채널 돌파 entryN=7, exitN=102 |
5.7% | -46.8% | 0.35 | 0.12 | 2.1x | 37 | 90% |
| MACD fast=23, slow=56, signal=19 |
4.0% | -28.9% | 0.31 | 0.14 | 1.7x | 115 | 47% |
| SMA 크로스오버 fast=29, slow=188 |
2.9% | -40.5% | 0.25 | 0.07 | 1.5x | 23 | 50% |
| ROC 모멘텀 n=58, threshold=0.14 |
2.0% | -17.5% | 0.24 | 0.11 | 1.3x | 88 | 15% |
| EMA 크로스오버 fast=49, slow=150 |
1.7% | -41.5% | 0.18 | 0.04 | 1.2x | 27 | 54% |
| Supertrend period=26, mult=3.7 |
0.9% | -44.5% | 0.14 | 0.02 | 1.1x | 63 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.3% | -60.8% | 0.03 | -0.02 | 0.8x | 185 | 52% |
| Buy and hold | 5.4% | -55.1% | 0.33 | 0.10 | 2.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average