Trend-Following Backtester · Guide · backtest 한국어
equity · US
LGI Homes, Inc. backtest
10 trend-following strategies were compared on the full daily history of LGI Homes, Inc.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.1%, MDD -45.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.1%, drawdown -81.3%).
Sharpe leader (same as main): Supertrend — CAGR 18.1%, MDD -45.6%, Sharpe 0.66, 54% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 18.1%, MDD -45.6%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=3.8 |
18.1% | -45.6% | 0.66 | 0.40 | 8.4x | 51 | 54% |
| EMA 크로스오버 fast=9, slow=63 |
11.2% | -70.1% | 0.48 | 0.16 | 3.9x | 77 | 54% |
| Donchian 채널 돌파 entryN=3, exitN=73 |
11.8% | -76.5% | 0.47 | 0.15 | 4.2x | 61 | 90% |
| MACD fast=17, slow=62, signal=39 |
10.7% | -66.6% | 0.47 | 0.16 | 3.7x | 94 | 49% |
| SMA 크로스오버 fast=14, slow=67 |
10.3% | -60.1% | 0.46 | 0.17 | 3.5x | 51 | 53% |
| ROC 모멘텀 n=53, threshold=0 |
7.1% | -63.1% | 0.37 | 0.11 | 2.4x | 145 | 53% |
| ADX / DI 방향성 period=37, threshold=20 |
4.4% | -25.7% | 0.34 | 0.17 | 1.7x | 22 | 15% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=15, mult=1.8 |
5.6% | -57.3% | 0.34 | 0.10 | 2.0x | 80 | 37% |
| 볼린저 밴드 돌파 n=12, k=2.7 |
2.5% | -22.8% | 0.26 | 0.11 | 1.4x | 34 | 7% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-0.7% | -76.6% | 0.16 | -0.01 | 0.9x | 186 | 53% |
| Buy and hold | 12.1% | -81.3% | 0.48 | 0.15 | 4.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)