Trend-Following Backtester · Guide · backtest 한국어
equity · US
Summit Hotel Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of Summit Hotel Properties, Inc.. 8 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 0.5%, MDD -10.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.2%, drawdown -86.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 0.8%, MDD -66.7%, Sharpe 0.18, 80% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 1.7%, MDD -31.7%, exposure 16%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 0.5%, MDD -10.9%, exposure 1%).
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=11, exitN=71 |
0.8% | -66.7% | 0.18 | 0.01 | 1.1x | 59 | 80% |
| ROC 모멘텀 n=141, threshold=0.19 |
1.7% | -31.7% | 0.18 | 0.05 | 1.3x | 85 | 16% |
| 볼린저 밴드 돌파 n=21, k=3.4 |
0.9% | -21.0% | 0.16 | 0.04 | 1.1x | 8 | 3% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=27, mult=3.8 |
0.8% | -15.4% | 0.16 | 0.05 | 1.1x | 2 | 1% |
| ADX / DI 방향성 period=42, threshold=20 |
0.5% | -10.9% | 0.15 | 0.05 | 1.1x | 7 | 1% |
| EMA 크로스오버 fast=54, slow=216 |
0.1% | -44.7% | 0.10 | 0.00 | 1.0x | 17 | 39% |
| MACD fast=16, slow=29, signal=18 |
-1.5% | -69.8% | 0.08 | -0.02 | 0.8x | 220 | 50% |
| SMA 크로스오버 fast=27, slow=151 |
-1.5% | -63.1% | 0.02 | -0.02 | 0.8x | 37 | 48% |
| Supertrend period=22, mult=2.8 |
-4.0% | -73.3% | -0.02 | -0.05 | 0.5x | 109 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.7% | -72.4% | -0.04 | -0.06 | 0.5x | 139 | 51% |
| Buy and hold | -2.2% | -86.4% | 0.15 | -0.03 | 0.7x | 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 11 days
- Sell — Sell when price breaks below the lowest low of the last 71 days