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Trend-Following Backtester · Guide · backtest 한국어

equity · US

Lamar Advertising Company backtest

10 trend-following strategies were compared on the full daily history of Lamar Advertising Company. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -61.5%).

Data 1996-08-02 ~ 2026-08-31daily bars 7,567 (30.1 years)Costs 0.5%Venue XNASMonthly snapshot 2026-08-31

Results by strategy

2 of 10 beat buy and hold (CAGR 8.3%, drawdown -92.3%).

Sharpe leader (same as main): Supertrend — CAGR 8.6%, MDD -77.7%, Sharpe 0.44, 60% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 14.5%p (CAGR 7.3%, MDD -61.5%, exposure 57%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=5, mult=5
8.6%-77.7%0.440.1112.1x9360%
ROC 모멘텀
n=24, threshold=-0.14
8.6%-79.7%0.410.1112.0x17993%
SMA 크로스오버
fast=16, slow=31
7.3%-61.5%0.400.128.2x23457%
EMA 크로스오버
fast=8, slow=25
6.4%-52.2%0.370.126.4x27658%
Donchian 채널 돌파
entryN=19, exitN=26
6.5%-69.5%0.370.096.6x15464%
MACD
fast=21, slow=59, signal=14
6.1%-51.0%0.350.125.9x31451%
Parabolic SAR
step=0.005, maxStep=0.36
5.7%-74.8%0.340.085.3x26856%
ADX / DI 방향성
period=34, threshold=20
3.3%-44.3%0.280.072.7x7016%
볼린저 밴드 돌파
n=30, k=1.1
3.0%-60.4%0.240.052.5x32247%
Keltner 채널 돌파
emaPeriod=77, atrPeriod=28, mult=4
2.0%-39.0%0.200.051.8x5826%
Buy and hold8.3%-92.3%0.400.0911.0x1100%
1x 10x 1997 2001 2005 2009 2013 2017 2021 2025 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -46% -69% -92% 1997 2001 2005 2009 2013 2017 2021 2025 Buy and holdSupertrend
Supertrend maximum drawdown -77.7% (2000-02-04 → 2009-03-30), recovered after 4,616 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore US assetsAll asset reports

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