Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sphere Entertainment Co. backtest
10 trend-following strategies were compared on the full daily history of Sphere Entertainment Co.. 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.9%, MDD -44.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 20.6%, drawdown -65.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.9%, MDD -16.7%, Sharpe 0.86, 9% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 20.8%, MDD -58.6%, exposure 68%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.7%p lower than buy and hold, while drawdown improves by 49.0%p (CAGR 18.9%, MDD -44.2%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=18, threshold=37 |
10.9% | -16.7% | 0.86 | 0.65 | 1.9x | 8 | 9% |
| 볼린저 밴드 돌파 n=20, k=1.3 |
19.1% | -45.8% | 0.72 | 0.42 | 3.1x | 76 | 42% |
| ROC 모멘텀 n=143, threshold=-0.11 |
20.8% | -58.6% | 0.66 | 0.35 | 3.3x | 27 | 68% |
| EMA 크로스오버 fast=18, slow=97 |
18.9% | -44.2% | 0.65 | 0.43 | 3.0x | 17 | 53% |
| Parabolic SAR step=0.035, maxStep=0.04 |
18.1% | -44.5% | 0.64 | 0.41 | 2.9x | 70 | 54% |
| SMA 크로스오버 fast=9, slow=157 |
17.9% | -54.9% | 0.62 | 0.33 | 2.9x | 23 | 56% |
| Donchian 채널 돌파 entryN=97, exitN=73 |
16.2% | -50.2% | 0.61 | 0.32 | 2.6x | 7 | 43% |
| Supertrend period=18, mult=2.7 |
15.5% | -41.0% | 0.60 | 0.38 | 2.5x | 48 | 51% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=27, mult=1.2 |
11.5% | -45.9% | 0.53 | 0.25 | 2.0x | 68 | 35% |
| MACD fast=12, slow=57, signal=13 |
12.5% | -50.3% | 0.51 | 0.25 | 2.1x | 86 | 49% |
| Buy and hold | 20.6% | -65.7% | 0.62 | 0.31 | 3.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 18-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)