Trend-Following Backtester · Guide · backtest 한국어
equity · US
Walt Disney Company (The) backtest
10 trend-following strategies were compared on the full daily history of Walt Disney Company (The). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.1%, MDD -59.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -85.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -59.5%, Sharpe 0.47, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 26.2%p (CAGR 8.1%, MDD -59.5%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=72 |
8.1% | -59.5% | 0.47 | 0.14 | 80.7x | 215 | 57% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
6.6% | -54.8% | 0.46 | 0.12 | 37.2x | 233 | 40% |
| Donchian 채널 돌파 entryN=79, exitN=34 |
6.1% | -56.1% | 0.42 | 0.11 | 27.9x | 145 | 43% |
| EMA 크로스오버 fast=32, slow=181 |
6.7% | -60.2% | 0.41 | 0.11 | 38.6x | 95 | 63% |
| Supertrend period=27, mult=5 |
6.3% | -61.6% | 0.40 | 0.10 | 31.6x | 187 | 55% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=2.5 |
5.3% | -63.5% | 0.40 | 0.08 | 18.9x | 251 | 37% |
| ROC 모멘텀 n=74, threshold=0.04 |
5.2% | -58.8% | 0.36 | 0.09 | 17.6x | 586 | 48% |
| Parabolic SAR step=0.005, maxStep=0.34 |
4.8% | -73.3% | 0.33 | 0.07 | 14.5x | 471 | 53% |
| ADX / DI 방향성 period=36, threshold=27 |
2.1% | -31.0% | 0.31 | 0.07 | 3.2x | 34 | 7% |
| MACD fast=19, slow=46, signal=17 |
3.4% | -86.3% | 0.26 | 0.04 | 6.6x | 617 | 50% |
| Buy and hold | 9.3% | -85.7% | 0.44 | 0.11 | 156.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 72-day average
- Sell — Sell (to cash) when the 20-day average falls below the 72-day average