Trend-Following Backtester · Guide · backtest 한국어
equity · US
Monarch Casino & Resort, Inc. backtest
10 trend-following strategies were compared on the full daily history of Monarch Casino & Resort, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -88.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.6%, MDD -36.5%, Sharpe 0.37, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -77.3%, exposure 59%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=21, mult=4 |
5.6% | -36.5% | 0.37 | 0.15 | 6.0x | 42 | 11% |
| SMA 크로스오버 fast=39, slow=213 |
6.5% | -77.3% | 0.35 | 0.08 | 8.1x | 51 | 59% |
| EMA 크로스오버 fast=54, slow=98 |
6.5% | -69.8% | 0.35 | 0.09 | 8.0x | 57 | 60% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
4.5% | -50.7% | 0.31 | 0.09 | 4.2x | 42 | 12% |
| ADX / DI 방향성 period=23, threshold=33 |
3.2% | -37.2% | 0.29 | 0.09 | 2.8x | 32 | 5% |
| Donchian 채널 돌파 entryN=17, exitN=55 |
1.2% | -93.4% | 0.27 | 0.01 | 1.5x | 121 | 76% |
| Supertrend period=14, mult=3.5 |
0.7% | -93.8% | 0.22 | 0.01 | 1.3x | 150 | 53% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-0.5% | -96.1% | 0.19 | -0.01 | 0.8x | 420 | 51% |
| MACD fast=24, slow=49, signal=21 |
-6.6% | -98.9% | 0.05 | -0.07 | 0.1x | 332 | 51% |
| ROC 모멘텀 n=76, threshold=-0.02 |
-6.4% | -97.9% | 0.04 | -0.07 | 0.1x | 457 | 60% |
| Buy and hold | 11.1% | -88.3% | 0.47 | 0.13 | 32.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 29-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 29-day average