Trend-Following Backtester · Guide · backtest 한국어
equity · US
TKO Group Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of TKO Group Holdings, Inc.. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.5%, MDD -55.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.6%, drawdown -73.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.3%, MDD -41.5%, Sharpe 0.56, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.5%, MDD -61.5%, exposure 56%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 31.4%p (CAGR 8.5%, MDD -55.4%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=37, threshold=25 |
5.3% | -41.5% | 0.56 | 0.13 | 4.0x | 18 | 7% |
| Donchian 채널 돌파 entryN=133, exitN=49 |
8.5% | -55.4% | 0.47 | 0.15 | 8.9x | 38 | 41% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=4 |
1.6% | -6.8% | 0.45 | 0.24 | 1.5x | 2 | 1% |
| SMA 크로스오버 fast=6, slow=85 |
8.5% | -61.5% | 0.44 | 0.14 | 9.0x | 128 | 56% |
| EMA 크로스오버 fast=19, slow=127 |
8.3% | -64.9% | 0.44 | 0.13 | 8.5x | 66 | 54% |
| 볼린저 밴드 돌파 n=47, k=2.1 |
6.2% | -46.1% | 0.39 | 0.13 | 5.0x | 120 | 36% |
| ROC 모멘텀 n=151, threshold=-0.02 |
6.5% | -69.6% | 0.37 | 0.09 | 5.4x | 186 | 60% |
| Supertrend period=23, mult=4.9 |
5.4% | -75.3% | 0.33 | 0.07 | 4.1x | 75 | 54% |
| MACD fast=12, slow=44, signal=18 |
-0.2% | -88.1% | 0.13 | -0.00 | 0.9x | 354 | 52% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-4.6% | -91.2% | -0.03 | -0.05 | 0.3x | 360 | 53% |
| Buy and hold | 7.6% | -73.0% | 0.39 | 0.10 | 7.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 37-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)