Trend-Following Backtester · Guide · backtest 한국어
equity · US
Legacy Housing Corporation backtest
10 trend-following strategies were compared on the full daily history of Legacy Housing Corporation. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 14.4%, MDD -35.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 10.7%, drawdown -54.4%).
Sharpe leader (same as main): MACD — CAGR 14.4%, MDD -35.3%, Sharpe 0.60, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 19.1%p (CAGR 14.4%, MDD -35.3%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=40, slow=67, signal=45 |
14.4% | -35.3% | 0.60 | 0.41 | 2.8x | 33 | 52% |
| SMA 크로스오버 fast=48, slow=80 |
10.0% | -50.2% | 0.47 | 0.20 | 2.1x | 27 | 56% |
| ROC 모멘텀 n=34, threshold=-0.12 |
10.1% | -38.4% | 0.44 | 0.26 | 2.1x | 61 | 84% |
| Supertrend period=9, mult=2.3 |
8.3% | -56.7% | 0.40 | 0.15 | 1.8x | 61 | 54% |
| Donchian 채널 돌파 entryN=20, exitN=56 |
7.6% | -48.3% | 0.38 | 0.16 | 1.7x | 21 | 77% |
| EMA 크로스오버 fast=39, slow=132 |
5.7% | -47.5% | 0.34 | 0.12 | 1.5x | 15 | 62% |
| 볼린저 밴드 돌파 n=38, k=3.3 |
3.3% | -20.3% | 0.29 | 0.17 | 1.3x | 16 | 15% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=3.2 |
2.0% | -17.6% | 0.24 | 0.11 | 1.2x | 8 | 3% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-1.8% | -47.7% | 0.10 | -0.04 | 0.9x | 107 | 51% |
| ADX / DI 방향성 period=14, threshold=15 |
-2.4% | -55.2% | 0.07 | -0.04 | 0.8x | 127 | 48% |
| Buy and hold | 10.7% | -54.4% | 0.45 | 0.20 | 2.2x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (40/67) crosses above its 45-day signal line
- Sell — Sell when the MACD line crosses back below the signal line