Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marriott International backtest
10 trend-following strategies were compared on the full daily history of Marriott International. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.2%, MDD -45.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -75.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -45.4%, Sharpe 0.54, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 30.5%p (CAGR 11.2%, MDD -45.4%, exposure 79%).
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=36, exitN=96 |
11.2% | -45.4% | 0.54 | 0.25 | 20.3x | 43 | 79% |
| SMA 크로스오버 fast=7, slow=168 |
9.8% | -43.7% | 0.53 | 0.22 | 14.3x | 73 | 66% |
| ROC 모멘텀 n=142, threshold=-0.05 |
9.9% | -42.7% | 0.52 | 0.23 | 14.6x | 161 | 72% |
| EMA 크로스오버 fast=39, slow=95 |
9.5% | -40.3% | 0.52 | 0.24 | 13.1x | 55 | 67% |
| Supertrend period=28, mult=3.7 |
4.5% | -64.5% | 0.30 | 0.07 | 3.4x | 146 | 59% |
| ADX / DI 방향성 period=39, threshold=23 |
1.7% | -14.6% | 0.30 | 0.11 | 1.6x | 26 | 8% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=20, mult=4 |
2.5% | -26.1% | 0.26 | 0.09 | 2.0x | 64 | 25% |
| 볼린저 밴드 돌파 n=44, k=2.2 |
2.7% | -42.2% | 0.24 | 0.06 | 2.1x | 118 | 35% |
| MACD fast=19, slow=25, signal=16 |
2.5% | -66.7% | 0.22 | 0.04 | 2.0x | 369 | 49% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.0% | -70.3% | 0.16 | 0.01 | 1.3x | 258 | 56% |
| Buy and hold | 11.5% | -75.9% | 0.49 | 0.15 | 22.1x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 96 days