Trend-Following Backtester · Guide · backtest 한국어
equity · US
E.W. Scripps Company (The) backtest
10 trend-following strategies were compared on the full daily history of E.W. Scripps Company (The). 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.5%, MDD -38.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.5%, drawdown -99.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.6%, MDD -88.8%, Sharpe 0.26, 70% exposure.
CAGR reference leader: Supertrend — CAGR 2.8%, MDD -79.8%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 10.8%p (CAGR 1.5%, MDD -38.1%, exposure 5%).
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=15, exitN=31 |
2.6% | -88.8% | 0.26 | 0.03 | 2.7x | 198 | 70% |
| Supertrend period=18, mult=3.1 |
2.8% | -79.8% | 0.25 | 0.04 | 2.9x | 284 | 53% |
| ROC 모멘텀 n=131, threshold=-0.03 |
2.3% | -73.6% | 0.22 | 0.03 | 2.4x | 320 | 61% |
| 볼린저 밴드 돌파 n=19, k=3.1 |
1.5% | -38.1% | 0.17 | 0.04 | 1.8x | 54 | 5% |
| MACD fast=16, slow=28, signal=14 |
-1.4% | -94.3% | 0.15 | -0.02 | 0.6x | 515 | 51% |
| SMA 크로스오버 fast=37, slow=183 |
-4.6% | -96.1% | 0.12 | -0.05 | 0.2x | 64 | 55% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-2.0% | -92.3% | 0.12 | -0.02 | 0.5x | 640 | 53% |
| ADX / DI 방향성 period=9, threshold=34 |
-0.9% | -68.2% | 0.08 | -0.01 | 0.7x | 402 | 20% |
| EMA 크로스오버 fast=49, slow=72 |
-6.4% | -96.6% | 0.07 | -0.07 | 0.1x | 92 | 57% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=11, mult=1.5 |
-3.3% | -86.2% | 0.02 | -0.04 | 0.3x | 292 | 43% |
| Buy and hold | -4.5% | -99.6% | 0.24 | -0.04 | 0.2x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 31 days