Trend-Following Backtester · Guide · backtest 한국어
equity · US
Expedia Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Expedia Group, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.3%, MDD -39.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.3%, drawdown -82.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -51.2%, Sharpe 0.58, 59% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 10.3%, MDD -39.4%, exposure 43%).
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=48, slow=91 |
14.0% | -51.2% | 0.58 | 0.27 | 15.8x | 55 | 59% |
| ROC 모멘텀 n=73, threshold=0.09 |
10.3% | -39.4% | 0.50 | 0.26 | 7.9x | 223 | 43% |
| Donchian 채널 돌파 entryN=22, exitN=75 |
10.5% | -65.9% | 0.46 | 0.16 | 8.3x | 51 | 78% |
| Supertrend period=24, mult=4.8 |
7.5% | -58.5% | 0.39 | 0.13 | 4.6x | 71 | 57% |
| EMA 크로스오버 fast=45, slow=51 |
5.7% | -63.5% | 0.33 | 0.09 | 3.2x | 59 | 60% |
| MACD fast=9, slow=45, signal=21 |
2.2% | -79.4% | 0.24 | 0.03 | 1.6x | 280 | 52% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=28, mult=1.7 |
2.7% | -66.8% | 0.23 | 0.04 | 1.8x | 145 | 40% |
| ADX / DI 방향성 period=22, threshold=22 |
2.1% | -48.6% | 0.21 | 0.04 | 1.6x | 97 | 25% |
| 볼린저 밴드 돌파 n=18, k=3.1 |
1.3% | -31.1% | 0.19 | 0.04 | 1.3x | 32 | 7% |
| Parabolic SAR step=0.025, maxStep=0.12 |
-4.1% | -91.4% | 0.00 | -0.05 | 0.4x | 478 | 54% |
| Buy and hold | 9.3% | -82.7% | 0.43 | 0.11 | 6.6x | 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 48-day average price crosses above the 91-day average
- Sell — Sell (to cash) when the 48-day average falls below the 91-day average