Trend-Following Backtester · Guide · backtest 한국어
equity · US
Choice Hotels International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Choice Hotels International, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -50.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -67.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -50.5%, Sharpe 0.41, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 16.8%p (CAGR 7.5%, MDD -50.5%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=75, slow=166 |
7.5% | -50.5% | 0.41 | 0.15 | 8.5x | 43 | 61% |
| Donchian 채널 돌파 entryN=106, exitN=70 |
5.1% | -50.6% | 0.33 | 0.10 | 4.4x | 41 | 49% |
| ROC 모멘텀 n=135, threshold=-0.04 |
3.5% | -70.3% | 0.26 | 0.05 | 2.8x | 197 | 67% |
| EMA 크로스오버 fast=32, slow=182 |
2.7% | -59.3% | 0.23 | 0.04 | 2.2x | 59 | 62% |
| Supertrend period=12, mult=2.7 |
2.6% | -57.3% | 0.23 | 0.04 | 2.1x | 229 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
0.7% | -70.2% | 0.15 | 0.01 | 1.2x | 253 | 55% |
| ADX / DI 방향성 period=20, threshold=38 |
0.1% | -19.9% | 0.05 | 0.01 | 1.0x | 24 | 3% |
| MACD fast=18, slow=38, signal=11 |
-1.8% | -79.7% | 0.04 | -0.02 | 0.6x | 425 | 52% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
-0.3% | -29.2% | -0.02 | -0.01 | 0.9x | 34 | 4% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=13, mult=1.7 |
-2.9% | -74.6% | -0.06 | -0.04 | 0.4x | 234 | 37% |
| Buy and hold | 9.2% | -67.3% | 0.43 | 0.14 | 13.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 75-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 75-day average falls below the 166-day average