Trend-Following Backtester · Guide · backtest 한국어
equity · US
Nexstar Media Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Nexstar Media Group, Inc.. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.0%, MDD -42.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.4%, drawdown -96.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.0%, MDD -42.4%, Sharpe 0.59, 16% exposure.
CAGR reference leader: MACD — CAGR 17.0%, MDD -81.6%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 54.3%p (CAGR 12.0%, MDD -42.4%, exposure 16%).
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=44, atrPeriod=21, mult=4 |
12.0% | -42.4% | 0.59 | 0.28 | 13.1x | 36 | 16% |
| MACD fast=16, slow=31, signal=8 |
17.0% | -81.6% | 0.58 | 0.21 | 35.4x | 349 | 51% |
| Supertrend period=11, mult=3.7 |
15.6% | -59.1% | 0.57 | 0.26 | 27.0x | 99 | 54% |
| 볼린저 밴드 돌파 n=25, k=1.3 |
13.7% | -62.9% | 0.54 | 0.22 | 18.5x | 237 | 41% |
| SMA 크로스오버 fast=57, slow=99 |
14.4% | -77.1% | 0.52 | 0.19 | 21.3x | 70 | 56% |
| Donchian 채널 돌파 entryN=72, exitN=61 |
13.2% | -74.1% | 0.52 | 0.18 | 16.5x | 40 | 49% |
| ROC 모멘텀 n=179, threshold=-0.04 |
13.7% | -61.3% | 0.51 | 0.22 | 18.3x | 191 | 66% |
| ADX / DI 방향성 period=35, threshold=27 |
4.9% | -25.1% | 0.48 | 0.19 | 3.0x | 10 | 4% |
| EMA 크로스오버 fast=55, slow=102 |
8.7% | -76.0% | 0.40 | 0.11 | 6.6x | 46 | 59% |
| Parabolic SAR step=0.015, maxStep=0.28 |
6.5% | -81.4% | 0.35 | 0.08 | 4.2x | 407 | 52% |
| Buy and hold | 12.4% | -96.7% | 0.49 | 0.13 | 14.2x | 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 44-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 44-day average