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. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.5%, MDD -43.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -54.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.6%, MDD -44.5%, Sharpe 0.49, 59% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 9.9%p (CAGR 10.5%, MDD -43.3%, exposure 56%).
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=42, slow=93 |
10.6% | -44.5% | 0.49 | 0.24 | 2.2x | 23 | 59% |
| Supertrend period=9, mult=2.4 |
10.5% | -43.3% | 0.47 | 0.24 | 2.2x | 55 | 56% |
| Donchian 채널 돌파 entryN=15, exitN=57 |
9.6% | -50.7% | 0.44 | 0.19 | 2.0x | 21 | 80% |
| MACD fast=16, slow=54, signal=18 |
7.8% | -40.2% | 0.39 | 0.19 | 1.8x | 81 | 47% |
| EMA 크로스오버 fast=37, slow=135 |
7.0% | -46.0% | 0.38 | 0.15 | 1.7x | 15 | 63% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=19, mult=2.7 |
4.0% | -18.7% | 0.37 | 0.21 | 1.4x | 14 | 7% |
| 볼린저 밴드 돌파 n=20, k=2.9 |
4.1% | -24.7% | 0.35 | 0.17 | 1.4x | 24 | 13% |
| ROC 모멘텀 n=83, threshold=0.03 |
2.1% | -49.4% | 0.21 | 0.04 | 1.2x | 95 | 49% |
| ADX / DI 방향성 period=13, threshold=19 |
0.8% | -44.6% | 0.16 | 0.02 | 1.1x | 100 | 40% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-1.1% | -47.7% | 0.13 | -0.02 | 0.9x | 109 | 52% |
| Buy and hold | 11.7% | -54.4% | 0.47 | 0.22 | 2.4x | 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 42-day average price crosses above the 93-day average
- Sell — Sell (to cash) when the 42-day average falls below the 93-day average