Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lifetime Brands, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lifetime Brands, Inc.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.4%, MDD -42.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 0.6%, drawdown -96.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.4%, MDD -42.3%, Sharpe 0.39, 16% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 54.4%p (CAGR 6.4%, MDD -42.3%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=17 |
6.4% | -42.3% | 0.39 | 0.15 | 8.7x | 107 | 16% |
| EMA 크로스오버 fast=45, slow=145 |
3.9% | -76.5% | 0.28 | 0.05 | 3.8x | 59 | 46% |
| SMA 크로스오버 fast=44, slow=99 |
3.7% | -68.9% | 0.27 | 0.05 | 3.6x | 91 | 47% |
| 볼린저 밴드 돌파 n=48, k=2.1 |
3.8% | -74.2% | 0.27 | 0.05 | 3.7x | 132 | 29% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=8, mult=3.1 |
3.0% | -68.2% | 0.24 | 0.04 | 2.8x | 92 | 21% |
| Donchian 채널 돌파 entryN=78, exitN=71 |
1.7% | -77.7% | 0.21 | 0.02 | 1.8x | 61 | 47% |
| Supertrend period=7, mult=4.1 |
1.0% | -87.9% | 0.20 | 0.01 | 1.4x | 155 | 49% |
| ROC 모멘텀 n=85, threshold=0.13 |
-0.6% | -93.0% | 0.12 | -0.01 | 0.8x | 335 | 29% |
| MACD fast=38, slow=46, signal=29 |
-5.2% | -98.3% | 0.06 | -0.05 | 0.2x | 242 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-5.1% | -94.7% | 0.03 | -0.05 | 0.2x | 278 | 49% |
| Buy and hold | 0.6% | -96.7% | 0.28 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 17
- Sell — Sell when direction flips or the trend weakens (ADX < 17)