Trend-Following Backtester · Guide · backtest 한국어
equity · US
Travel Leisure Co. backtest
10 trend-following strategies were compared on the full daily history of Travel Leisure Co.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.8%, MDD -41.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.0%, drawdown -92.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.8%, MDD -41.0%, Sharpe 0.55, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 51.4%p (CAGR 11.8%, MDD -41.0%, exposure 60%).
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=25, slow=131 |
11.8% | -41.0% | 0.55 | 0.29 | 9.5x | 43 | 60% |
| EMA 크로스오버 fast=36, slow=264 |
9.7% | -56.7% | 0.50 | 0.17 | 6.4x | 21 | 61% |
| Donchian 채널 돌파 entryN=56, exitN=39 |
9.4% | -50.5% | 0.48 | 0.19 | 6.1x | 50 | 52% |
| ADX / DI 방향성 period=33, threshold=19 |
6.0% | -45.1% | 0.42 | 0.13 | 3.2x | 62 | 16% |
| Supertrend period=27, mult=5 |
7.0% | -62.2% | 0.38 | 0.11 | 3.9x | 63 | 60% |
| ROC 모멘텀 n=128, threshold=-0.06 |
6.4% | -71.5% | 0.36 | 0.09 | 3.5x | 139 | 71% |
| 볼린저 밴드 돌파 n=51, k=2.5 |
5.0% | -37.9% | 0.35 | 0.13 | 2.7x | 46 | 24% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=18, mult=1.1 |
5.5% | -63.6% | 0.34 | 0.09 | 2.9x | 144 | 54% |
| Parabolic SAR step=0.01, maxStep=0.14 |
1.7% | -65.2% | 0.21 | 0.03 | 1.4x | 286 | 55% |
| MACD fast=12, slow=43, signal=9 |
-1.5% | -73.9% | 0.10 | -0.02 | 0.7x | 388 | 49% |
| Buy and hold | 8.0% | -92.5% | 0.40 | 0.09 | 4.7x | 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 25-day average price crosses above the 131-day average
- Sell — Sell (to cash) when the 25-day average falls below the 131-day average