Trend-Following Backtester · Guide · backtest 한국어
equity · US
Charter Communications, Inc. backtest
10 trend-following strategies were compared on the full daily history of Charter Communications, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.4%, MDD -28.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.2%, drawdown -85.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.1%, MDD -25.8%, Sharpe 0.60, 36% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.3%, MDD -50.1%, exposure 65%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 59.2%p (CAGR 8.4%, MDD -28.9%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=96, exitN=18 |
8.1% | -25.8% | 0.60 | 0.31 | 3.7x | 46 | 36% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=2.5 |
8.4% | -28.9% | 0.60 | 0.29 | 3.9x | 66 | 40% |
| SMA 크로스오버 fast=54, slow=197 |
11.3% | -50.1% | 0.57 | 0.23 | 5.9x | 18 | 65% |
| EMA 크로스오버 fast=32, slow=167 |
10.7% | -56.0% | 0.56 | 0.19 | 5.5x | 22 | 67% |
| ROC 모멘텀 n=130, threshold=-0.04 |
9.2% | -40.9% | 0.49 | 0.22 | 4.3x | 78 | 70% |
| 볼린저 밴드 돌파 n=50, k=2.2 |
6.5% | -40.9% | 0.48 | 0.16 | 2.9x | 61 | 37% |
| ADX / DI 방향성 period=33, threshold=25 |
3.4% | -20.4% | 0.47 | 0.17 | 1.8x | 20 | 11% |
| Supertrend period=28, mult=4.7 |
7.9% | -58.0% | 0.46 | 0.14 | 3.6x | 55 | 58% |
| MACD fast=40, slow=52, signal=39 |
3.7% | -69.0% | 0.28 | 0.05 | 1.8x | 99 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
0.2% | -75.4% | 0.12 | 0.00 | 1.0x | 157 | 56% |
| Buy and hold | 9.2% | -85.0% | 0.44 | 0.11 | 4.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 96 days
- Sell — Sell when price breaks below the lowest low of the last 18 days