Trend-Following Backtester · Guide · backtest 한국어
equity · US
MGM Resorts International backtest
10 trend-following strategies were compared on the full daily history of MGM Resorts International. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -62.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.5%, drawdown -98.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -62.4%, Sharpe 0.41, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 35.7%p (CAGR 8.0%, MDD -62.4%, 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=44, slow=115 |
8.0% | -62.4% | 0.41 | 0.13 | 19.2x | 85 | 55% |
| Supertrend period=13, mult=3.5 |
6.8% | -66.1% | 0.36 | 0.10 | 12.2x | 229 | 51% |
| Donchian 채널 돌파 entryN=7, exitN=64 |
5.7% | -79.9% | 0.34 | 0.07 | 8.4x | 173 | 85% |
| 볼린저 밴드 돌파 n=19, k=2.8 |
4.6% | -59.9% | 0.34 | 0.08 | 5.6x | 120 | 13% |
| EMA 크로스오버 fast=18, slow=129 |
5.2% | -67.5% | 0.32 | 0.08 | 7.0x | 111 | 56% |
| ROC 모멘텀 n=147, threshold=-0.02 |
4.9% | -75.9% | 0.31 | 0.06 | 6.2x | 315 | 60% |
| MACD fast=13, slow=33, signal=11 |
4.5% | -85.0% | 0.30 | 0.05 | 5.5x | 612 | 50% |
| Parabolic SAR step=0.025, maxStep=0.14 |
4.1% | -67.3% | 0.28 | 0.06 | 4.7x | 834 | 51% |
| ADX / DI 방향성 period=31, threshold=17 |
3.7% | -62.7% | 0.27 | 0.06 | 4.0x | 169 | 28% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=8, mult=1.3 |
1.9% | -86.0% | 0.20 | 0.02 | 2.1x | 384 | 40% |
| Buy and hold | 7.5% | -98.1% | 0.39 | 0.08 | 16.1x | 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 44-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 44-day average falls below the 115-day average