Trend-Following Backtester · Guide · backtest 한국어
equity · US
Boyd Gaming Corporation backtest
10 trend-following strategies were compared on the full daily history of Boyd Gaming Corporation. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.7%, MDD -34.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.2%, drawdown -94.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.4%, MDD -48.8%, Sharpe 0.49, 28% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 4.7%, MDD -34.6%, exposure 8%).
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=42, atrPeriod=11, mult=2.7 |
9.4% | -48.8% | 0.49 | 0.19 | 18.9x | 120 | 28% |
| 볼린저 밴드 돌파 n=36, k=2.3 |
9.1% | -53.4% | 0.48 | 0.17 | 17.2x | 130 | 26% |
| Donchian 채널 돌파 entryN=60, exitN=13 |
7.2% | -48.6% | 0.41 | 0.15 | 9.8x | 123 | 27% |
| EMA 크로스오버 fast=7, slow=102 |
8.3% | -53.6% | 0.41 | 0.16 | 13.9x | 159 | 54% |
| ADX / DI 방향성 period=38, threshold=23 |
4.7% | -34.6% | 0.40 | 0.14 | 4.6x | 36 | 8% |
| SMA 크로스오버 fast=8, slow=98 |
7.7% | -56.4% | 0.39 | 0.14 | 11.4x | 131 | 53% |
| ROC 모멘텀 n=77, threshold=0.12 |
6.0% | -55.7% | 0.35 | 0.11 | 6.8x | 298 | 33% |
| MACD fast=21, slow=52, signal=22 |
5.8% | -85.0% | 0.33 | 0.07 | 6.4x | 297 | 52% |
| Supertrend period=14, mult=2.8 |
5.6% | -72.5% | 0.33 | 0.08 | 5.9x | 239 | 55% |
| Parabolic SAR step=0.015, maxStep=0.28 |
1.0% | -74.8% | 0.19 | 0.01 | 1.4x | 557 | 51% |
| Buy and hold | 4.2% | -94.7% | 0.33 | 0.04 | 3.8x | 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 42-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 42-day average