Trend-Following Backtester · Guide · backtest 한국어
equity · US
Red Rock Resorts, Inc. backtest
10 trend-following strategies were compared on the full daily history of Red Rock Resorts, Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.5%, MDD -40.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.2%, drawdown -89.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -5.3%, Sharpe 0.72, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.7%, MDD -44.7%, exposure 72%.
Return/drawdown alternative: Supertrend — CAGR is 8.8%p lower than buy and hold, while drawdown improves by 84.4%p (CAGR 11.5%, MDD -40.5%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.5 |
2.3% | -5.3% | 0.72 | 0.44 | 1.3x | 2 | 2% |
| Donchian 채널 돌파 entryN=25, exitN=60 |
13.7% | -44.7% | 0.57 | 0.31 | 3.8x | 27 | 72% |
| Supertrend period=28, mult=4.9 |
11.5% | -40.5% | 0.52 | 0.28 | 3.1x | 29 | 60% |
| ROC 모멘텀 n=81, threshold=0.13 |
7.4% | -40.2% | 0.43 | 0.18 | 2.1x | 84 | 31% |
| MACD fast=14, slow=46, signal=15 |
8.6% | -45.2% | 0.43 | 0.19 | 2.3x | 142 | 50% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=24, mult=2.9 |
6.6% | -42.6% | 0.41 | 0.15 | 1.9x | 32 | 31% |
| ADX / DI 방향성 period=33, threshold=19 |
4.5% | -32.2% | 0.37 | 0.14 | 1.6x | 22 | 17% |
| EMA 크로스오버 fast=15, slow=209 |
6.0% | -50.4% | 0.35 | 0.12 | 1.8x | 27 | 58% |
| SMA 크로스오버 fast=7, slow=52 |
5.9% | -47.6% | 0.35 | 0.12 | 1.8x | 78 | 56% |
| Parabolic SAR step=0.02, maxStep=0.28 |
5.5% | -45.0% | 0.33 | 0.12 | 1.7x | 228 | 56% |
| Buy and hold | 11.2% | -89.7% | 0.46 | 0.12 | 3.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 25-day middle average