Trend-Following Backtester · Guide · backtest 한국어
equity · US
Limoneira Co backtest
10 trend-following strategies were compared on the full daily history of Limoneira Co. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.2%, MDD -18.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.6%, drawdown -69.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.2%, MDD -18.0%, Sharpe 0.60, 9% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 7.4%, MDD -40.0%, exposure 10%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.6%p higher than buy and hold, while drawdown improves by 51.2%p (CAGR 7.2%, MDD -18.0%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=18, mult=3.5 |
7.2% | -18.0% | 0.60 | 0.40 | 4.9x | 38 | 9% |
| ADX / DI 방향성 period=35, threshold=28 |
7.4% | -40.0% | 0.54 | 0.18 | 5.1x | 10 | 10% |
| 볼린저 밴드 돌파 n=15, k=3.4 |
4.2% | -22.4% | 0.47 | 0.19 | 2.5x | 30 | 6% |
| Donchian 채널 돌파 entryN=46, exitN=61 |
6.7% | -68.9% | 0.36 | 0.10 | 4.4x | 43 | 58% |
| EMA 크로스오버 fast=57, slow=127 |
5.7% | -54.1% | 0.34 | 0.10 | 3.5x | 34 | 49% |
| SMA 크로스오버 fast=37, slow=153 |
5.4% | -63.5% | 0.33 | 0.08 | 3.3x | 40 | 50% |
| ROC 모멘텀 n=256, threshold=0 |
1.3% | -68.3% | 0.18 | 0.02 | 1.3x | 118 | 51% |
| Supertrend period=4, mult=4.9 |
-1.1% | -89.8% | 0.11 | -0.01 | 0.8x | 110 | 54% |
| MACD fast=19, slow=59, signal=19 |
-5.2% | -91.0% | -0.02 | -0.06 | 0.3x | 213 | 50% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-8.2% | -97.4% | -0.14 | -0.08 | 0.1x | 338 | 49% |
| Buy and hold | 3.6% | -69.2% | 0.30 | 0.05 | 2.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 9-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average