Trend-Following Backtester · Guide · backtest 한국어
equity · US
LivaNova PLC backtest
10 trend-following strategies were compared on the full daily history of LivaNova PLC. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 6.6%, MDD -40.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.2%, drawdown -74.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.2%, MDD -45.2%, Sharpe 0.45, 38% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 6.6%, MDD -40.2%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=86, exitN=40 |
7.2% | -45.2% | 0.45 | 0.16 | 2.1x | 17 | 38% |
| ROC 모멘텀 n=112, threshold=0.13 |
6.6% | -40.2% | 0.45 | 0.16 | 2.0x | 67 | 33% |
| EMA 크로스오버 fast=43, slow=149 |
6.3% | -41.2% | 0.38 | 0.15 | 1.9x | 13 | 44% |
| SMA 크로스오버 fast=51, slow=181 |
4.6% | -48.2% | 0.31 | 0.10 | 1.6x | 15 | 46% |
| 볼린저 밴드 돌파 n=59, k=2.6 |
2.7% | -48.5% | 0.26 | 0.06 | 1.3x | 26 | 25% |
| ADX / DI 방향성 period=25, threshold=39 |
0.8% | -7.8% | 0.25 | 0.10 | 1.1x | 2 | 1% |
| Supertrend period=28, mult=3.7 |
2.7% | -61.0% | 0.23 | 0.04 | 1.3x | 43 | 54% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=9, mult=3 |
2.1% | -46.9% | 0.22 | 0.05 | 1.3x | 27 | 26% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.7% | -76.4% | 0.04 | -0.04 | 0.7x | 88 | 50% |
| MACD fast=15, slow=56, signal=10 |
-3.9% | -77.0% | 0.00 | -0.05 | 0.7x | 138 | 51% |
| Buy and hold | 1.2% | -74.2% | 0.23 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 86 days
- Sell — Sell when price breaks below the lowest low of the last 40 days