Trend-Following Backtester · Guide · backtest 한국어
equity · US
Red Rock Resorts, Inc. backtest
10 trend-following strategies were compared on the full daily history of Red Rock Resorts, Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.1%, MDD -38.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 12.8%, drawdown -89.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -5.3%, Sharpe 0.73, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.4%, MDD -44.1%, exposure 72%.
Return/drawdown alternative: Supertrend — CAGR is 10.4%p lower than buy and hold, while drawdown improves by 84.4%p (CAGR 13.1%, MDD -38.4%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=25, k=3.5 |
2.3% | -5.3% | 0.73 | 0.44 | 1.3x | 2 | 2% |
| Donchian 채널 돌파 entryN=25, exitN=60 |
15.4% | -44.1% | 0.62 | 0.35 | 4.3x | 27 | 72% |
| Supertrend period=28, mult=4.9 |
13.1% | -38.4% | 0.57 | 0.34 | 3.5x | 29 | 60% |
| ROC 모멘텀 n=81, threshold=0.13 |
8.0% | -40.2% | 0.46 | 0.20 | 2.2x | 81 | 31% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=24, mult=2.9 |
7.3% | -42.6% | 0.44 | 0.17 | 2.1x | 31 | 31% |
| MACD fast=14, slow=46, signal=15 |
8.6% | -45.2% | 0.43 | 0.19 | 2.3x | 142 | 51% |
| EMA 크로스오버 fast=15, slow=209 |
7.5% | -50.4% | 0.40 | 0.15 | 2.1x | 27 | 58% |
| ADX / DI 방향성 period=33, threshold=19 |
4.6% | -32.2% | 0.37 | 0.14 | 1.6x | 22 | 18% |
| SMA 크로스오버 fast=7, slow=52 |
6.2% | -47.6% | 0.36 | 0.13 | 1.9x | 77 | 56% |
| Parabolic SAR step=0.02, maxStep=0.28 |
6.2% | -45.0% | 0.35 | 0.14 | 1.8x | 226 | 57% |
| Buy and hold | 12.8% | -89.7% | 0.49 | 0.14 | 3.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 25-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 25-day middle average