Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Linamar Corporation backtest
10 trend-following strategies were compared on the full daily history of Linamar Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.9%, MDD -38.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.1%, drawdown -93.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.2%, MDD -62.6%, Sharpe 0.62, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.2%, MDD -79.1%, exposure 72%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 9.9%, MDD -38.1%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=24, slow=104 |
14.2% | -62.6% | 0.62 | 0.23 | 65.8x | 79 | 58% |
| ADX / DI 방향성 period=34, threshold=21 |
9.9% | -38.1% | 0.61 | 0.26 | 19.7x | 64 | 19% |
| Donchian 채널 돌파 entryN=26, exitN=60 |
14.2% | -79.1% | 0.59 | 0.18 | 66.4x | 77 | 72% |
| EMA 크로스오버 fast=54, slow=102 |
12.4% | -62.0% | 0.59 | 0.20 | 40.5x | 49 | 60% |
| 볼린저 밴드 돌파 n=47, k=1.3 |
10.0% | -55.0% | 0.51 | 0.18 | 20.1x | 186 | 44% |
| ROC 모멘텀 n=148, threshold=0.01 |
8.1% | -82.4% | 0.44 | 0.10 | 11.7x | 209 | 56% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=1.8 |
7.1% | -64.2% | 0.40 | 0.11 | 8.7x | 184 | 41% |
| Supertrend period=20, mult=4.5 |
6.6% | -70.5% | 0.37 | 0.09 | 7.6x | 115 | 55% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.1% | -70.3% | 0.25 | 0.04 | 2.7x | 256 | 55% |
| MACD fast=16, slow=48, signal=24 |
0.2% | -78.3% | 0.14 | 0.00 | 1.1x | 344 | 50% |
| Buy and hold | 9.1% | -93.7% | 0.42 | 0.10 | 15.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 24-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 24-day average falls below the 104-day average