Trend-Following Backtester · Guide · backtest 한국어
equity · US
DraftKings Inc. backtest
10 trend-following strategies were compared on the full daily history of DraftKings Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 25.4%, MDD -31.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 13.6%, drawdown -85.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 31.1%, MDD -44.5%, Sharpe 0.86, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.5%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 25.4%, MDD -31.9%, 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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=147, threshold=0.05 |
31.1% | -44.5% | 0.86 | 0.70 | 6.8x | 44 | 44% |
| 볼린저 밴드 돌파 n=30, k=1.5 |
27.1% | -39.6% | 0.85 | 0.69 | 5.5x | 54 | 39% |
| ADX / DI 방향성 period=32, threshold=22 |
18.5% | -35.9% | 0.83 | 0.51 | 3.3x | 12 | 14% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=12, mult=1.6 |
25.4% | -31.9% | 0.80 | 0.80 | 5.0x | 46 | 40% |
| Donchian 채널 돌파 entryN=104, exitN=63 |
26.8% | -51.7% | 0.78 | 0.52 | 5.4x | 8 | 44% |
| EMA 크로스오버 fast=45, slow=101 |
26.5% | -53.1% | 0.76 | 0.50 | 5.3x | 10 | 50% |
| SMA 크로스오버 fast=48, slow=168 |
20.2% | -63.6% | 0.64 | 0.32 | 3.7x | 10 | 48% |
| Supertrend period=17, mult=3.4 |
16.5% | -57.6% | 0.58 | 0.29 | 3.0x | 45 | 49% |
| Parabolic SAR step=0.055, maxStep=0.22 |
13.0% | -64.1% | 0.50 | 0.20 | 2.4x | 261 | 52% |
| MACD fast=15, slow=38, signal=14 |
8.1% | -79.9% | 0.40 | 0.10 | 1.7x | 97 | 51% |
| Buy and hold | 13.6% | -85.7% | 0.52 | 0.16 | 2.5x | 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 147-day return is greater than 5%
- Sell — Sell when the 147-day return drops to 5% or below