Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lindblad Expeditions Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Lindblad Expeditions Holdings Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.3%, MDD -54.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 8.0%, drawdown -83.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.3%, MDD -54.2%, Sharpe 0.44, 54% exposure.
CAGR reference leader: Parabolic SAR — CAGR 10.3%, MDD -58.4%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 10.3%, MDD -54.2%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=90 |
10.3% | -54.2% | 0.44 | 0.19 | 3.7x | 37 | 54% |
| Parabolic SAR step=0.01, maxStep=0.38 |
10.3% | -58.4% | 0.44 | 0.18 | 3.7x | 164 | 54% |
| ADX / DI 방향성 period=10, threshold=21 |
9.6% | -58.1% | 0.44 | 0.17 | 3.4x | 216 | 36% |
| 볼린저 밴드 돌파 n=20, k=2.8 |
5.5% | -27.2% | 0.40 | 0.20 | 2.0x | 48 | 15% |
| Donchian 채널 돌파 entryN=18, exitN=92 |
7.9% | -78.1% | 0.39 | 0.10 | 2.7x | 27 | 79% |
| MACD fast=9, slow=37, signal=16 |
7.1% | -59.8% | 0.37 | 0.12 | 2.5x | 216 | 49% |
| ROC 모멘텀 n=72, threshold=-0.01 |
6.6% | -55.3% | 0.35 | 0.12 | 2.3x | 149 | 59% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=22, mult=1.8 |
5.8% | -54.3% | 0.35 | 0.11 | 2.1x | 74 | 31% |
| Supertrend period=17, mult=2.2 |
5.3% | -74.6% | 0.32 | 0.07 | 2.0x | 130 | 51% |
| EMA 크로스오버 fast=58, slow=63 |
-1.6% | -81.1% | 0.13 | -0.02 | 0.8x | 37 | 55% |
| Buy and hold | 8.0% | -83.2% | 0.42 | 0.10 | 2.8x | 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 49-day average price crosses above the 90-day average
- Sell — Sell (to cash) when the 49-day average falls below the 90-day average