Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pursuit Attractions and Hospitality, Inc. backtest
10 trend-following strategies were compared on the full daily history of Pursuit Attractions and Hospitality, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 3.2%, MDD -51.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.4%, drawdown -83.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.5%, MDD -64.4%, Sharpe 0.30, 65% exposure.
Return/drawdown alternative: MACD — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 3.2%, MDD -51.6%, exposure 49%).
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=49, exitN=72 |
4.5% | -64.4% | 0.30 | 0.07 | 2.7x | 45 | 65% |
| SMA 크로스오버 fast=34, slow=178 |
3.4% | -58.8% | 0.26 | 0.06 | 2.1x | 39 | 60% |
| MACD fast=14, slow=32, signal=13 |
3.2% | -51.6% | 0.25 | 0.06 | 2.0x | 323 | 49% |
| Parabolic SAR step=0.01, maxStep=0.28 |
2.4% | -55.3% | 0.23 | 0.04 | 1.7x | 295 | 51% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=22, mult=1.7 |
2.4% | -48.2% | 0.22 | 0.05 | 1.7x | 150 | 35% |
| ADX / DI 방향성 period=24, threshold=18 |
2.3% | -50.9% | 0.22 | 0.05 | 1.7x | 143 | 30% |
| 볼린저 밴드 돌파 n=38, k=3.1 |
1.8% | -27.0% | 0.21 | 0.07 | 1.5x | 30 | 12% |
| EMA 크로스오버 fast=47, slow=62 |
1.3% | -62.8% | 0.17 | 0.02 | 1.3x | 71 | 57% |
| Supertrend period=7, mult=4.4 |
-0.7% | -71.7% | 0.12 | -0.01 | 0.9x | 94 | 53% |
| ROC 모멘텀 n=74, threshold=-0.01 |
-0.8% | -75.7% | 0.10 | -0.01 | 0.8x | 255 | 58% |
| Buy and hold | 3.4% | -83.4% | 0.29 | 0.04 | 2.1x | 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 49 days
- Sell — Sell when price breaks below the lowest low of the last 72 days