Trend-Following Backtester · Guide · backtest 한국어
equity · US
SiriusXM Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of SiriusXM Holdings Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.2%, MDD -72.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.6%, drawdown -99.9%).
Sharpe leader (same as main): MACD — CAGR 14.2%, MDD -96.3%, Sharpe 0.50, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 3.6%p (CAGR 11.2%, MDD -72.5%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=19, slow=49, signal=14 |
14.2% | -96.3% | 0.50 | 0.15 | 69.0x | 320 | 50% |
| 볼린저 밴드 돌파 n=28, k=1.5 |
13.1% | -78.8% | 0.49 | 0.17 | 51.2x | 278 | 36% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=21, mult=1.6 |
11.2% | -72.5% | 0.46 | 0.15 | 29.4x | 206 | 35% |
| SMA 크로스오버 fast=13, slow=83 |
10.4% | -85.3% | 0.43 | 0.12 | 23.6x | 130 | 52% |
| Supertrend period=13, mult=3.2 |
8.3% | -88.0% | 0.39 | 0.09 | 12.8x | 194 | 47% |
| EMA 크로스오버 fast=29, slow=38 |
6.5% | -85.7% | 0.36 | 0.08 | 7.6x | 138 | 52% |
| ROC 모멘텀 n=52, threshold=0.01 |
6.1% | -90.4% | 0.35 | 0.07 | 6.5x | 439 | 51% |
| Donchian 채널 돌파 entryN=28, exitN=53 |
3.7% | -93.0% | 0.33 | 0.04 | 3.2x | 93 | 66% |
| ADX / DI 방향성 period=14, threshold=30 |
4.3% | -72.9% | 0.29 | 0.06 | 3.8x | 166 | 14% |
| Parabolic SAR step=0.03, maxStep=0.12 |
1.2% | -94.6% | 0.28 | 0.01 | 1.5x | 709 | 49% |
| Buy and hold | -1.6% | -99.9% | 0.35 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (19/49) crosses above its 14-day signal line
- Sell — Sell when the MACD line crosses back below the signal line