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. The return/drawdown alternative is MACD (CAGR 4.7%, MDD -28.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 6.2%, drawdown -55.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.3%, MDD -9.6%, Sharpe 0.44, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 6.4%, MDD -46.8%, exposure 90%.
Return/drawdown alternative: MACD — CAGR is 3.9%p lower than buy and hold, while drawdown improves by 45.5%p (CAGR 4.7%, MDD -28.9%, exposure 47%).
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% | 0.44 | 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% |
| Donchian 채널 돌파 entryN=7, exitN=102 |
6.4% | -46.8% | 0.38 | 0.14 | 2.3x | 37 | 90% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
1.8% | -10.9% | 0.35 | 0.16 | 1.3x | 12 | 6% |
| MACD fast=23, slow=56, signal=19 |
4.7% | -28.9% | 0.34 | 0.16 | 1.8x | 115 | 47% |
| SMA 크로스오버 fast=29, slow=188 |
3.7% | -40.5% | 0.29 | 0.09 | 1.6x | 23 | 51% |
| ROC 모멘텀 n=58, threshold=0.14 |
2.0% | -17.5% | 0.24 | 0.11 | 1.3x | 90 | 15% |
| EMA 크로스오버 fast=49, slow=150 |
2.4% | -41.5% | 0.22 | 0.06 | 1.4x | 27 | 54% |
| Supertrend period=26, mult=3.7 |
1.7% | -44.5% | 0.18 | 0.04 | 1.2x | 63 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.6% | -60.8% | 0.07 | -0.01 | 0.9x | 185 | 52% |
| Buy and hold | 6.2% | -55.1% | 0.35 | 0.11 | 2.2x | 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