Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clear Channel Outdoor Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Clear Channel Outdoor Holdings, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -28.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.5%, drawdown -98.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -76.0%, Sharpe 0.29, 65% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.3%p higher than buy and hold, while drawdown improves by 22.6%p (CAGR -0.0%, MDD -28.2%, exposure 2%).
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=23, exitN=54 |
2.8% | -76.0% | 0.29 | 0.04 | 1.8x | 53 | 65% |
| Supertrend period=12, mult=5 |
1.8% | -78.4% | 0.25 | 0.02 | 1.4x | 45 | 55% |
| ROC 모멘텀 n=153, threshold=-0.02 |
1.6% | -72.2% | 0.23 | 0.02 | 1.4x | 145 | 50% |
| EMA 크로스오버 fast=15, slow=181 |
1.6% | -80.5% | 0.22 | 0.02 | 1.4x | 39 | 46% |
| SMA 크로스오버 fast=11, slow=183 |
0.7% | -80.8% | 0.20 | 0.01 | 1.2x | 45 | 48% |
| MACD fast=15, slow=47, signal=19 |
-3.7% | -84.6% | 0.15 | -0.04 | 0.5x | 226 | 50% |
| 볼린저 밴드 돌파 n=16, k=3 |
-0.4% | -42.2% | 0.07 | -0.01 | 0.9x | 50 | 7% |
| ADX / DI 방향성 period=23, threshold=37 |
-0.0% | -28.2% | 0.03 | -0.00 | 1.0x | 12 | 2% |
| Parabolic SAR step=0.02, maxStep=0.28 |
-9.5% | -97.2% | -0.01 | -0.10 | 0.1x | 438 | 50% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=20, mult=3 |
-5.6% | -85.1% | -0.07 | -0.07 | 0.3x | 61 | 28% |
| Buy and hold | -9.5% | -98.6% | 0.17 | -0.10 | 0.1x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 54 days