Trend-Following Backtester · Guide · backtest 한국어
equity · US
Churchill Downs, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Churchill Downs, Incorporated. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.6%, drawdown -62.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.1%, MDD -62.9%, Sharpe 0.41, 66% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=80, slow=412 |
8.1% | -62.9% | 0.41 | 0.13 | 13.3x | 22 | 66% |
| EMA 크로스오버 fast=69, slow=224 |
3.1% | -73.3% | 0.25 | 0.04 | 2.7x | 44 | 64% |
| Parabolic SAR step=0.005, maxStep=0.16 |
2.4% | -65.2% | 0.22 | 0.04 | 2.2x | 260 | 52% |
| ADX / DI 방향성 period=38, threshold=29 |
1.2% | -19.1% | 0.22 | 0.06 | 1.5x | 12 | 3% |
| Donchian 채널 돌파 entryN=155, exitN=98 |
2.1% | -67.4% | 0.21 | 0.03 | 2.0x | 34 | 51% |
| Supertrend period=28, mult=3.2 |
1.0% | -76.4% | 0.17 | 0.01 | 1.4x | 190 | 54% |
| ROC 모멘텀 n=188, threshold=-0.06 |
-2.5% | -89.8% | 0.06 | -0.03 | 0.4x | 280 | 74% |
| 볼린저 밴드 돌파 n=50, k=2.9 |
-1.6% | -67.4% | -0.05 | -0.02 | 0.6x | 72 | 18% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=6, mult=2.7 |
-2.2% | -76.3% | -0.06 | -0.03 | 0.5x | 130 | 27% |
| MACD fast=13, slow=58, signal=17 |
-5.1% | -96.2% | -0.07 | -0.05 | 0.2x | 469 | 50% |
| Buy and hold | 8.6% | -62.9% | 0.41 | 0.14 | 15.5x | 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 80-day average price crosses above the 412-day average
- Sell — Sell (to cash) when the 80-day average falls below the 412-day average