Trend-Following Backtester · Guide · backtest 한국어
equity · US
Madison Square Garden Sports Corp. backtest
10 trend-following strategies were compared on the full daily history of Madison Square Garden Sports Corp.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 10.5%, drawdown -41.6%).
Sharpe leader (same as main): Supertrend — CAGR 11.2%, MDD -37.9%, Sharpe 0.65, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=7, mult=4.6 |
11.2% | -37.9% | 0.65 | 0.29 | 3.2x | 27 | 63% |
| ROC 모멘텀 n=80, threshold=-0.07 |
9.0% | -48.9% | 0.51 | 0.18 | 2.6x | 63 | 77% |
| EMA 크로스오버 fast=19, slow=147 |
7.2% | -40.7% | 0.47 | 0.18 | 2.1x | 25 | 60% |
| ADX / DI 방향성 period=38, threshold=22 |
3.6% | -13.3% | 0.43 | 0.27 | 1.5x | 12 | 10% |
| Donchian 채널 돌파 entryN=31, exitN=31 |
6.4% | -42.9% | 0.42 | 0.15 | 2.0x | 41 | 57% |
| SMA 크로스오버 fast=12, slow=136 |
5.9% | -47.9% | 0.40 | 0.12 | 1.9x | 33 | 59% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=22, mult=2.3 |
4.8% | -21.1% | 0.37 | 0.23 | 1.7x | 45 | 40% |
| 볼린저 밴드 돌파 n=49, k=1.1 |
3.8% | -39.9% | 0.30 | 0.10 | 1.5x | 76 | 48% |
| MACD fast=15, slow=29, signal=15 |
-3.0% | -45.5% | -0.08 | -0.07 | 0.7x | 152 | 51% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-4.8% | -63.8% | -0.17 | -0.08 | 0.6x | 366 | 53% |
| Buy and hold | 10.5% | -41.6% | 0.50 | 0.25 | 3.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 7-day volatility, 4.6× band
- Sell — Sell when price drops below the trend line (flips down)