Trend-Following Backtester · Guide · backtest 한국어
equity · US
Wyndham Hotels & Resorts, Inc. backtest
10 trend-following strategies were compared on the full daily history of Wyndham Hotels & Resorts, Inc.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.2%, MDD -9.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.3%, drawdown -67.5%).
Sharpe leader (same as main): Supertrend — CAGR 8.5%, MDD -32.8%, Sharpe 0.46, 62% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 2.2%, MDD -9.6%, exposure 6%).
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=31, mult=4.4 |
8.5% | -32.8% | 0.46 | 0.26 | 2.0x | 24 | 62% |
| 볼린저 밴드 돌파 n=46, k=3.3 |
2.2% | -9.6% | 0.41 | 0.23 | 1.2x | 4 | 6% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=3.5 |
1.0% | -6.6% | 0.28 | 0.15 | 1.1x | 2 | 2% |
| SMA 크로스오버 fast=37, slow=51 |
1.6% | -48.8% | 0.18 | 0.03 | 1.1x | 52 | 55% |
| Donchian 채널 돌파 entryN=49, exitN=51 |
1.2% | -36.8% | 0.16 | 0.03 | 1.1x | 20 | 53% |
| EMA 크로스오버 fast=39, slow=100 |
1.0% | -39.0% | 0.15 | 0.03 | 1.1x | 18 | 56% |
| ROC 모멘텀 n=57, threshold=0 |
0.1% | -43.0% | 0.11 | 0.00 | 1.0x | 98 | 57% |
| ADX / DI 방향성 period=23, threshold=34 |
0.2% | -6.1% | 0.11 | 0.04 | 1.0x | 2 | 1% |
| MACD fast=17, slow=23, signal=18 |
-0.8% | -49.9% | 0.07 | -0.02 | 0.9x | 110 | 48% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-3.0% | -48.8% | -0.01 | -0.06 | 0.8x | 158 | 54% |
| Buy and hold | 2.3% | -67.5% | 0.24 | 0.03 | 1.2x | 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) — 31-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)