Trend-Following Backtester · Guide · backtest 한국어
equity · US
PENN Entertainment, Inc. backtest
10 trend-following strategies were compared on the full daily history of PENN Entertainment, Inc.. 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 12.1%, MDD -59.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.9%, drawdown -91.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -59.5%, Sharpe 0.51, 48% exposure.
CAGR reference leader: Supertrend — CAGR 12.4%, MDD -85.4%, exposure 57%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 12.1%, MDD -59.5%, exposure 48%).
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=91, exitN=54 |
12.1% | -59.5% | 0.51 | 0.20 | 39.9x | 54 | 48% |
| Supertrend period=29, mult=5 |
12.4% | -85.4% | 0.50 | 0.15 | 43.9x | 86 | 57% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=27, mult=1.7 |
10.3% | -73.3% | 0.47 | 0.14 | 23.8x | 188 | 43% |
| ADX / DI 방향성 period=47, threshold=19 |
7.7% | -40.6% | 0.46 | 0.19 | 10.9x | 34 | 12% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
10.2% | -74.8% | 0.46 | 0.14 | 22.9x | 210 | 45% |
| EMA 크로스오버 fast=8, slow=32 |
9.7% | -81.0% | 0.44 | 0.12 | 20.1x | 280 | 56% |
| ROC 모멘텀 n=81, threshold=0.08 |
9.3% | -84.6% | 0.44 | 0.11 | 17.7x | 314 | 44% |
| SMA 크로스오버 fast=42, slow=205 |
8.9% | -88.2% | 0.42 | 0.10 | 15.7x | 51 | 56% |
| MACD fast=27, slow=31, signal=23 |
8.2% | -74.8% | 0.40 | 0.11 | 12.7x | 322 | 52% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-1.0% | -92.2% | 0.15 | -0.01 | 0.7x | 554 | 54% |
| Buy and hold | 14.9% | -91.4% | 0.53 | 0.16 | 88.2x | 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 91 days
- Sell — Sell when price breaks below the lowest low of the last 54 days