Trend-Following Backtester · Guide · backtest 한국어
equity · US
Marriott Vacations Worldwide Corporation backtest
10 trend-following strategies were compared on the full daily history of Marriott Vacations Worldwide Corporation. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 17.7%, MDD -48.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.1%, drawdown -75.9%).
Sharpe leader (same as main): Supertrend — CAGR 18.6%, MDD -49.0%, Sharpe 0.79, 60% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 26.8%p (CAGR 17.7%, MDD -48.9%, exposure 69%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=4.5 |
18.6% | -49.0% | 0.79 | 0.38 | 12.3x | 45 | 60% |
| Donchian 채널 돌파 entryN=27, exitN=50 |
17.7% | -48.9% | 0.71 | 0.36 | 11.0x | 37 | 69% |
| SMA 크로스오버 fast=32, slow=54 |
15.6% | -51.4% | 0.70 | 0.30 | 8.5x | 61 | 58% |
| EMA 크로스오버 fast=20, slow=38 |
11.2% | -62.1% | 0.55 | 0.18 | 4.8x | 69 | 61% |
| ROC 모멘텀 n=154, threshold=0.05 |
9.5% | -63.9% | 0.54 | 0.15 | 3.8x | 71 | 48% |
| 볼린저 밴드 돌파 n=48, k=2.7 |
7.1% | -16.3% | 0.52 | 0.43 | 2.7x | 33 | 23% |
| Parabolic SAR step=0.02, maxStep=0.34 |
7.8% | -59.4% | 0.41 | 0.13 | 3.0x | 307 | 55% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=2.6 |
3.5% | -24.9% | 0.38 | 0.14 | 1.7x | 44 | 11% |
| ADX / DI 방향성 period=18, threshold=18 |
3.2% | -54.8% | 0.26 | 0.06 | 1.6x | 133 | 36% |
| MACD fast=19, slow=22, signal=15 |
0.1% | -68.9% | 0.15 | 0.00 | 1.0x | 228 | 50% |
| Buy and hold | 12.1% | -75.9% | 0.49 | 0.16 | 5.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)