Trend-Following Backtester · Guide · backtest 한국어
equity · US
PENN Entertainment, Inc. backtest
10 trend-following strategies were compared on the full daily history of PENN Entertainment, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -59.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.7%, drawdown -91.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -59.5%, Sharpe 0.52, 48% exposure.
CAGR reference leader: Supertrend — CAGR 13.0%, MDD -85.4%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 12.5%, MDD -59.5%, exposure 48%).
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=91, exitN=54 |
12.5% | -59.5% | 0.52 | 0.21 | 44.1x | 53 | 48% |
| Supertrend period=29, mult=5 |
13.0% | -85.4% | 0.52 | 0.15 | 51.1x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=1.7 |
10.5% | -73.3% | 0.47 | 0.14 | 24.5x | 187 | 43% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
10.3% | -74.8% | 0.47 | 0.14 | 23.7x | 209 | 45% |
| ADX / DI 방향성 period=47, threshold=19 |
7.7% | -40.6% | 0.46 | 0.19 | 10.9x | 34 | 12% |
| ROC 모멘텀 n=81, threshold=0.08 |
9.7% | -84.6% | 0.45 | 0.11 | 19.7x | 313 | 44% |
| EMA 크로스오버 fast=8, slow=32 |
9.9% | -81.0% | 0.44 | 0.12 | 20.7x | 279 | 56% |
| SMA 크로스오버 fast=42, slow=205 |
9.6% | -88.2% | 0.43 | 0.11 | 19.3x | 51 | 56% |
| MACD fast=27, slow=31, signal=23 |
8.2% | -74.8% | 0.40 | 0.11 | 12.7x | 322 | 52% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-1.0% | -92.2% | 0.15 | -0.01 | 0.7x | 554 | 54% |
| Buy and hold | 15.7% | -91.4% | 0.54 | 0.17 | 108.4x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 54 days