Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vail Resorts, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vail Resorts, Inc.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.8%, MDD -49.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.3%, drawdown -77.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.9%, MDD -53.7%, Sharpe 0.42, 57% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 6.8%, MDD -49.3%, exposure 57%).
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=33, slow=248 |
6.9% | -53.7% | 0.42 | 0.13 | 7.2x | 35 | 57% |
| EMA 크로스오버 fast=51, slow=177 |
6.8% | -49.3% | 0.42 | 0.14 | 7.0x | 31 | 57% |
| ROC 모멘텀 n=172, threshold=0.04 |
4.5% | -70.3% | 0.32 | 0.06 | 3.7x | 178 | 53% |
| Donchian 채널 돌파 entryN=117, exitN=78 |
4.1% | -55.4% | 0.30 | 0.07 | 3.3x | 39 | 51% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
2.1% | -27.1% | 0.26 | 0.08 | 1.9x | 26 | 14% |
| Supertrend period=14, mult=3.9 |
2.0% | -69.5% | 0.20 | 0.03 | 1.8x | 139 | 60% |
| Keltner 채널 돌파 emaPeriod=73, atrPeriod=15, mult=3.5 |
1.9% | -42.9% | 0.20 | 0.04 | 1.8x | 78 | 34% |
| ADX / DI 방향성 period=38, threshold=26 |
0.3% | -12.8% | 0.10 | 0.03 | 1.1x | 10 | 3% |
| MACD fast=19, slow=58, signal=17 |
-3.3% | -81.0% | -0.01 | -0.04 | 0.4x | 308 | 49% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.8% | -94.1% | -0.24 | -0.09 | 0.1x | 534 | 54% |
| Buy and hold | 6.3% | -77.5% | 0.35 | 0.08 | 6.1x | 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 33-day average price crosses above the 248-day average
- Sell — Sell (to cash) when the 33-day average falls below the 248-day average