Trend-Following Backtester · Guide · backtest 한국어
equity · US
Warner Bros. Discovery, Inc. - Series A backtest
10 trend-following strategies were compared on the full daily history of Warner Bros. Discovery, Inc. - Series A. 4 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 8.9%, MDD -33.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.8%, drawdown -91.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.9%, MDD -33.7%, Sharpe 0.65, 19% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.4%, MDD -70.8%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR 8.9%, MDD -33.7%, exposure 19%).
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=164, exitN=13 |
8.9% | -33.7% | 0.65 | 0.26 | 6.0x | 42 | 19% |
| ADX / DI 방향성 period=47, threshold=18 |
6.8% | -50.7% | 0.51 | 0.13 | 4.0x | 18 | 12% |
| 볼린저 밴드 돌파 n=80, k=3.5 |
5.2% | -46.0% | 0.49 | 0.11 | 2.9x | 6 | 6% |
| EMA 크로스오버 fast=58, slow=166 |
9.4% | -70.8% | 0.49 | 0.13 | 6.7x | 27 | 51% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=28, mult=3.3 |
5.7% | -39.5% | 0.44 | 0.14 | 3.2x | 53 | 17% |
| SMA 크로스오버 fast=37, slow=277 |
7.9% | -74.7% | 0.43 | 0.11 | 5.0x | 27 | 50% |
| ROC 모멘텀 n=118, threshold=0.07 |
4.7% | -84.6% | 0.31 | 0.06 | 2.6x | 166 | 40% |
| Supertrend period=10, mult=2.3 |
3.1% | -74.9% | 0.25 | 0.04 | 1.9x | 205 | 53% |
| MACD fast=14, slow=49, signal=16 |
-0.6% | -85.3% | 0.12 | -0.01 | 0.9x | 249 | 51% |
| Parabolic SAR step=0.01, maxStep=0.3 |
-1.1% | -76.5% | 0.10 | -0.01 | 0.8x | 309 | 51% |
| Buy and hold | 6.8% | -91.3% | 0.36 | 0.07 | 4.0x | 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 164 days
- Sell — Sell when price breaks below the lowest low of the last 13 days