Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sabre Corporation backtest
10 trend-following strategies were compared on the full daily history of Sabre Corporation. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.1%, MDD -14.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -15.2%, drawdown -97.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.3%, MDD -54.8%, Sharpe 0.33, 17% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 1.1%, MDD -14.7%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=159, threshold=0.25 |
5.3% | -54.8% | 0.33 | 0.10 | 1.9x | 43 | 17% |
| ADX / DI 방향성 period=22, threshold=30 |
1.1% | -14.7% | 0.22 | 0.08 | 1.1x | 8 | 3% |
| MACD fast=12, slow=41, signal=31 |
-1.1% | -65.6% | 0.18 | -0.02 | 0.9x | 125 | 51% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=24, mult=3.1 |
1.1% | -20.2% | 0.16 | 0.05 | 1.1x | 10 | 3% |
| Donchian 채널 돌파 entryN=132, exitN=45 |
-0.6% | -46.6% | 0.06 | -0.01 | 0.9x | 13 | 20% |
| SMA 크로스오버 fast=20, slow=33 |
-5.8% | -71.7% | 0.03 | -0.08 | 0.5x | 107 | 50% |
| EMA 크로스오버 fast=52, slow=162 |
-2.4% | -64.2% | 0.02 | -0.04 | 0.7x | 17 | 34% |
| Supertrend period=8, mult=2.9 |
-8.4% | -85.0% | -0.04 | -0.10 | 0.3x | 83 | 50% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
-0.7% | -27.4% | -0.05 | -0.03 | 0.9x | 10 | 3% |
| Parabolic SAR step=0.035, maxStep=0.42 |
-20.3% | -97.6% | -0.33 | -0.21 | 0.1x | 385 | 49% |
| Buy and hold | -15.2% | -97.3% | 0.06 | -0.16 | 0.1x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 159-day return is greater than 25%
- Sell — Sell when the 159-day return drops to 25% or below