Trend-Following Backtester · Guide · backtest 한국어
equity · US
Entravision Communications Corporation backtest
10 trend-following strategies were compared on the full daily history of Entravision Communications 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 16.9%, MDD -34.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.0%, drawdown -99.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.9%, MDD -34.7%, Sharpe 0.67, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.0%p higher than buy and hold, while drawdown improves by 64.6%p (CAGR 16.9%, MDD -34.1%, exposure 11%).
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=51, atrPeriod=16, mult=3.9 |
17.9% | -34.7% | 0.67 | 0.52 | 72.9x | 29 | 16% |
| ADX / DI 방향성 period=22, threshold=28 |
16.9% | -34.1% | 0.67 | 0.50 | 58.2x | 44 | 11% |
| 볼린저 밴드 돌파 n=62, k=3.5 |
13.3% | -42.6% | 0.65 | 0.31 | 25.9x | 21 | 14% |
| ROC 모멘텀 n=101, threshold=0.22 |
15.4% | -71.0% | 0.57 | 0.22 | 41.8x | 163 | 21% |
| Donchian 채널 돌파 entryN=113, exitN=17 |
13.7% | -58.5% | 0.55 | 0.23 | 27.9x | 43 | 17% |
| SMA 크로스오버 fast=58, slow=211 |
8.3% | -70.8% | 0.38 | 0.12 | 7.9x | 35 | 40% |
| MACD fast=10, slow=28, signal=16 |
6.9% | -94.8% | 0.36 | 0.07 | 5.6x | 390 | 51% |
| EMA 크로스오버 fast=54, slow=111 |
5.7% | -75.6% | 0.32 | 0.08 | 4.3x | 47 | 40% |
| Parabolic SAR step=0.02, maxStep=0.16 |
2.0% | -94.0% | 0.28 | 0.02 | 1.7x | 513 | 50% |
| Supertrend period=28, mult=4.4 |
-2.4% | -93.5% | 0.16 | -0.03 | 0.5x | 89 | 52% |
| Buy and hold | -2.0% | -99.3% | 0.33 | -0.02 | 0.6x | 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 51-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 51-day average