Trend-Following Backtester · Guide · backtest 한국어

equity · US

Pursuit Attractions and Hospitality, Inc. backtest

10 trend-following strategies were compared on the full daily history of Pursuit Attractions and Hospitality, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.6%, MDD -58.8%).

Data 2004-06-22 ~ 2026-07-31daily bars 5,563 (22.1 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 3.6%, drawdown -83.4%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -64.4%, Sharpe 0.30, 64% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 3.6%, MDD -58.8%, exposure 60%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=49, exitN=72
4.8%-64.4%0.300.072.8x4564%
SMA 크로스오버
fast=34, slow=178
3.6%-58.8%0.270.062.2x3960%
MACD
fast=14, slow=32, signal=13
3.4%-51.6%0.260.072.1x32249%
ADX / DI 방향성
period=24, threshold=18
2.7%-50.9%0.230.051.8x14130%
Parabolic SAR
step=0.01, maxStep=0.28
2.5%-55.3%0.230.051.7x29451%
Keltner 채널 돌파
emaPeriod=30, atrPeriod=22, mult=1.7
2.4%-48.2%0.220.051.7x15036%
볼린저 밴드 돌파
n=38, k=3.1
1.8%-27.0%0.210.071.5x3012%
EMA 크로스오버
fast=47, slow=62
1.5%-62.8%0.180.021.4x7157%
Supertrend
period=7, mult=4.4
-0.4%-71.7%0.13-0.010.9x9353%
ROC 모멘텀
n=74, threshold=-0.01
-0.6%-75.7%0.11-0.010.9x25558%
Buy and hold3.6%-83.4%0.300.042.2x1100%
1x 2005 2008 2011 2014 2017 2020 2023 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -83% 2005 2008 2011 2014 2017 2020 2023 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -64.4% (2019-07-24 → 2020-07-27), recovered after 565 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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