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 18.1%, MDD -48.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 12.6%, drawdown -75.9%).
Sharpe leader (same as main): Supertrend — CAGR 19.0%, MDD -49.0%, Sharpe 0.78, 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 18.1%, 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 |
19.0% | -49.0% | 0.78 | 0.39 | 13.1x | 45 | 60% |
| Donchian 채널 돌파 entryN=27, exitN=50 |
18.1% | -48.9% | 0.71 | 0.37 | 11.7x | 37 | 69% |
| SMA 크로스오버 fast=32, slow=54 |
16.0% | -51.4% | 0.70 | 0.31 | 9.0x | 61 | 58% |
| EMA 크로스오버 fast=20, slow=38 |
11.6% | -62.1% | 0.55 | 0.19 | 5.1x | 69 | 61% |
| ROC 모멘텀 n=154, threshold=0.05 |
10.0% | -63.9% | 0.54 | 0.16 | 4.1x | 71 | 48% |
| 볼린저 밴드 돌파 n=48, k=2.7 |
7.5% | -16.4% | 0.51 | 0.46 | 2.9x | 33 | 23% |
| Parabolic SAR step=0.02, maxStep=0.34 |
8.6% | -59.4% | 0.44 | 0.15 | 3.4x | 308 | 55% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=2.6 |
2.6% | -25.1% | 0.29 | 0.10 | 1.5x | 46 | 11% |
| ADX / DI 방향성 period=18, threshold=18 |
3.6% | -54.9% | 0.27 | 0.07 | 1.7x | 133 | 37% |
| MACD fast=19, slow=22, signal=15 |
-0.6% | -68.9% | 0.12 | -0.01 | 0.9x | 230 | 50% |
| Buy and hold | 12.6% | -75.9% | 0.50 | 0.17 | 5.8x | 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)