Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wynn Resorts, Limited backtest
10 trend-following strategies were compared on the full daily history of Wynn Resorts, Limited. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.6%, MDD -48.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.5%, drawdown -91.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.0%, MDD -68.6%, Sharpe 0.60, 60% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 22.5%p (CAGR 10.6%, MDD -48.7%, exposure 51%).
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=55, exitN=73 |
15.0% | -68.6% | 0.60 | 0.22 | 28.0x | 38 | 60% |
| EMA 크로스오버 fast=42, slow=58 |
13.3% | -65.0% | 0.57 | 0.20 | 19.6x | 56 | 56% |
| ROC 모멘텀 n=120, threshold=-0.03 |
13.2% | -63.4% | 0.56 | 0.21 | 19.2x | 150 | 60% |
| SMA 크로스오버 fast=26, slow=208 |
11.9% | -74.6% | 0.54 | 0.16 | 14.7x | 36 | 55% |
| Supertrend period=21, mult=5 |
10.6% | -48.7% | 0.49 | 0.22 | 11.1x | 64 | 51% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=12, mult=1.2 |
9.5% | -57.3% | 0.47 | 0.17 | 8.7x | 158 | 45% |
| ADX / DI 방향성 period=19, threshold=22 |
7.9% | -50.9% | 0.47 | 0.16 | 6.1x | 152 | 25% |
| 볼린저 밴드 돌파 n=25, k=2.4 |
6.2% | -44.8% | 0.39 | 0.14 | 4.2x | 128 | 24% |
| MACD fast=15, slow=42, signal=16 |
2.7% | -82.0% | 0.25 | 0.03 | 1.9x | 310 | 51% |
| Parabolic SAR step=0.015, maxStep=0.18 |
0.2% | -92.8% | 0.17 | 0.00 | 1.0x | 420 | 52% |
| Buy and hold | 8.5% | -91.1% | 0.41 | 0.09 | 7.0x | 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 55 days
- Sell — Sell when price breaks below the lowest low of the last 73 days