Trend-Following Backtester · Guide · backtest 한국어
equity · US
Liberty Latin America Ltd. backtest
10 trend-following strategies were compared on the full daily history of Liberty Latin America Ltd.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.4%, MDD -13.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -11.1%, drawdown -90.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.6%, MDD -16.6%, Sharpe 0.46, 7% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 0.4%, MDD -13.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=32, threshold=0.21 |
4.6% | -16.6% | 0.46 | 0.28 | 1.7x | 58 | 7% |
| Donchian 채널 돌파 entryN=138, exitN=7 |
1.5% | -22.9% | 0.20 | 0.06 | 1.2x | 16 | 7% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=28, mult=3.7 |
0.5% | -39.5% | 0.11 | 0.01 | 1.1x | 19 | 15% |
| ADX / DI 방향성 period=26, threshold=29 |
0.4% | -13.8% | 0.10 | 0.03 | 1.0x | 8 | 4% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
0.3% | -24.4% | 0.07 | 0.01 | 1.0x | 7 | 4% |
| SMA 크로스오버 fast=42, slow=122 |
-3.9% | -64.4% | -0.03 | -0.06 | 0.6x | 29 | 38% |
| Supertrend period=37, mult=3.6 |
-7.6% | -81.3% | -0.12 | -0.09 | 0.4x | 57 | 48% |
| EMA 크로스오버 fast=55, slow=219 |
-4.6% | -68.4% | -0.12 | -0.07 | 0.6x | 17 | 26% |
| MACD fast=22, slow=50, signal=22 |
-12.0% | -89.3% | -0.24 | -0.13 | 0.2x | 92 | 50% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-16.6% | -91.3% | -0.45 | -0.18 | 0.1x | 299 | 49% |
| Buy and hold | -11.1% | -90.5% | -0.02 | -0.12 | 0.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 32-day return is greater than 21%
- Sell — Sell when the 32-day return drops to 21% or below