Trend-Following Backtester · Guide · backtest 한국어
equity · US
Six Flags Entertainment Corporation backtest
10 trend-following strategies were compared on the full daily history of Six Flags Entertainment Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.8%, MDD -53.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.8%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.9%, MDD -58.6%, Sharpe 0.40, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 4.8%, MDD -53.8%, exposure 55%).
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=27, slow=230 |
5.9% | -58.6% | 0.40 | 0.10 | 9.4x | 50 | 60% |
| EMA 크로스오버 fast=33, slow=256 |
5.3% | -54.1% | 0.38 | 0.10 | 7.6x | 50 | 61% |
| Donchian 채널 돌파 entryN=66, exitN=59 |
4.8% | -53.8% | 0.36 | 0.09 | 6.3x | 60 | 55% |
| ROC 모멘텀 n=269, threshold=-0.08 |
3.9% | -70.0% | 0.30 | 0.06 | 4.6x | 170 | 71% |
| Supertrend period=17, mult=4.1 |
3.3% | -61.2% | 0.26 | 0.05 | 3.6x | 132 | 63% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=3.4 |
2.0% | -39.1% | 0.22 | 0.05 | 2.2x | 92 | 26% |
| 볼린저 밴드 돌파 n=57, k=2.8 |
1.0% | -41.3% | 0.14 | 0.02 | 1.5x | 82 | 20% |
| ADX / DI 방향성 period=39, threshold=30 |
0.3% | -11.4% | 0.12 | 0.03 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.9% | -87.2% | 0.00 | -0.02 | 0.5x | 310 | 52% |
| MACD fast=17, slow=34, signal=18 |
-6.1% | -92.4% | -0.19 | -0.07 | 0.1x | 517 | 49% |
| Buy and hold | 2.8% | -83.2% | 0.25 | 0.03 | 3.0x | 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 27-day average price crosses above the 230-day average
- Sell — Sell (to cash) when the 27-day average falls below the 230-day average