Trend-Following Backtester · Guide · backtest 한국어
equity · US
Las Vegas Sands Corp. backtest
10 trend-following strategies were compared on the full daily history of Las Vegas Sands Corp.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -31.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.2%, drawdown -99.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.7%, MDD -60.7%, Sharpe 0.51, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.0%, MDD -71.3%, exposure 65%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 38.3%p (CAGR 8.0%, MDD -31.7%, exposure 20%).
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=117 |
11.7% | -60.7% | 0.51 | 0.19 | 11.0x | 54 | 52% |
| Donchian 채널 돌파 entryN=39, exitN=74 |
12.0% | -71.3% | 0.50 | 0.17 | 11.5x | 42 | 65% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=22, mult=2.7 |
8.0% | -31.7% | 0.47 | 0.25 | 5.3x | 82 | 20% |
| EMA 크로스오버 fast=31, slow=81 |
9.4% | -67.5% | 0.45 | 0.14 | 7.0x | 52 | 53% |
| ADX / DI 방향성 period=13, threshold=21 |
8.1% | -76.8% | 0.42 | 0.11 | 5.4x | 265 | 29% |
| ROC 모멘텀 n=17, threshold=0.11 |
7.5% | -61.3% | 0.41 | 0.12 | 4.8x | 302 | 16% |
| 볼린저 밴드 돌파 n=59, k=1.3 |
7.2% | -64.4% | 0.40 | 0.11 | 4.5x | 106 | 38% |
| Supertrend period=16, mult=3.2 |
5.6% | -72.8% | 0.33 | 0.08 | 3.2x | 139 | 51% |
| MACD fast=15, slow=24, signal=15 |
3.4% | -82.3% | 0.28 | 0.04 | 2.0x | 325 | 50% |
| Parabolic SAR step=0.01, maxStep=0.06 |
2.7% | -89.4% | 0.24 | 0.03 | 1.8x | 251 | 52% |
| Buy and hold | 0.2% | -99.0% | 0.28 | 0.00 | 1.0x | 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 117-day average
- Sell — Sell (to cash) when the 20-day average falls below the 117-day average