Trend-Following Backtester · Guide · backtest 한국어
equity · US
Atlanta Braves Holdings, Inc. - Series A backtest
10 trend-following strategies were compared on the full daily history of Atlanta Braves Holdings, Inc. - Series A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 97% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.1%, drawdown -54.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.6%, MDD -26.7%, Sharpe 0.69, 97% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 97% n=18, threshold=-0.11 |
15.6% | -26.7% | 0.69 | 0.58 | 4.4x | 23 | 97% |
| SMA 크로스오버 fast=34, slow=79 |
7.4% | -38.8% | 0.45 | 0.19 | 2.1x | 35 | 62% |
| Supertrend period=26, mult=4.1 |
7.4% | -33.4% | 0.44 | 0.22 | 2.1x | 31 | 60% |
| Donchian 채널 돌파 entryN=65, exitN=56 |
6.3% | -30.4% | 0.41 | 0.21 | 1.9x | 21 | 58% |
| EMA 크로스오버 fast=35, slow=60 |
5.7% | -35.2% | 0.38 | 0.16 | 1.8x | 37 | 62% |
| 볼린저 밴드 돌파 n=49, k=3.5 |
2.3% | -20.0% | 0.30 | 0.12 | 1.3x | 10 | 12% |
| MACD fast=15, slow=46, signal=12 |
1.5% | -36.7% | 0.18 | 0.04 | 1.2x | 140 | 49% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=2.9 |
-0.3% | -32.4% | 0.05 | -0.01 | 1.0x | 38 | 33% |
| ADX / DI 방향성 period=39, threshold=20 |
-1.7% | -34.9% | -0.13 | -0.05 | 0.8x | 20 | 15% |
| Parabolic SAR step=0.03, maxStep=0.14 |
-5.3% | -54.3% | -0.17 | -0.10 | 0.6x | 272 | 51% |
| Buy and hold | 11.1% | -54.2% | 0.50 | 0.20 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 18-day return is greater than -11%
- Sell — Sell when the 18-day return drops to -11% or below