Trend-Following Backtester · Guide · backtest 한국어
equity · US
Booking Holdings Inc. Common Stock backtest
10 trend-following strategies were compared on the full daily history of Booking Holdings Inc. Common Stock. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -61.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.6%, drawdown -99.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.6%, MDD -80.6%, Sharpe 0.59, 66% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 12.4%, MDD -61.7%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=113, slow=126 |
14.6% | -80.6% | 0.59 | 0.18 | 41.5x | 26 | 66% |
| SMA 크로스오버 fast=27, slow=95 |
14.3% | -68.1% | 0.55 | 0.21 | 38.9x | 89 | 60% |
| 볼린저 밴드 돌파 n=60, k=1.5 |
11.7% | -72.8% | 0.51 | 0.16 | 20.7x | 125 | 45% |
| Donchian 채널 돌파 entryN=44, exitN=42 |
12.4% | -61.7% | 0.51 | 0.20 | 24.4x | 73 | 57% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=3 |
10.7% | -71.5% | 0.49 | 0.15 | 16.0x | 105 | 38% |
| ROC 모멘텀 n=106, threshold=-0.07 |
11.8% | -82.0% | 0.48 | 0.14 | 21.0x | 193 | 72% |
| Supertrend period=16, mult=2.8 |
10.7% | -79.5% | 0.45 | 0.13 | 15.9x | 221 | 58% |
| ADX / DI 방향성 period=38, threshold=25 |
5.4% | -35.5% | 0.41 | 0.15 | 4.3x | 20 | 11% |
| Parabolic SAR step=0.025, maxStep=0.12 |
0.1% | -88.7% | 0.20 | 0.00 | 1.0x | 587 | 54% |
| MACD fast=13, slow=54, signal=17 |
-4.0% | -94.4% | 0.11 | -0.04 | 0.3x | 363 | 51% |
| Buy and hold | 8.6% | -99.3% | 0.44 | 0.09 | 9.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 113-day EMA crosses above the 126-day EMA
- Sell — Sell when the 113-day EMA falls below the 126-day EMA