Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lifeway Foods, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lifeway Foods, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -93.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -82.8%, Sharpe 0.37, 47% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=59, slow=104 |
6.5% | -82.8% | 0.37 | 0.08 | 10.6x | 103 | 47% |
| 볼린저 밴드 돌파 n=15, k=3.4 |
4.2% | -37.8% | 0.36 | 0.11 | 4.7x | 26 | 3% |
| Donchian 채널 돌파 entryN=65, exitN=15 |
6.3% | -65.8% | 0.35 | 0.10 | 10.0x | 109 | 22% |
| Parabolic SAR step=0.005, maxStep=0.28 |
3.8% | -94.5% | 0.32 | 0.04 | 4.0x | 239 | 45% |
| EMA 크로스오버 fast=59, slow=216 |
3.8% | -80.5% | 0.31 | 0.05 | 4.1x | 53 | 51% |
| ADX / DI 방향성 period=24, threshold=16 |
-2.1% | -94.8% | 0.21 | -0.02 | 0.5x | 285 | 39% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=26, mult=3.6 |
1.2% | -75.3% | 0.19 | 0.02 | 1.5x | 93 | 13% |
| Supertrend period=12, mult=4.6 |
-7.6% | -99.6% | 0.14 | -0.08 | 0.1x | 147 | 50% |
| MACD fast=28, slow=41, signal=26 |
-7.3% | -99.4% | 0.14 | -0.07 | 0.1x | 337 | 51% |
| ROC 모멘텀 n=121, threshold=0.06 |
-10.7% | -99.7% | 0.01 | -0.11 | 0.0x | 397 | 42% |
| Buy and hold | 11.5% | -93.2% | 0.52 | 0.12 | 59.3x | 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 59-day average price crosses above the 104-day average
- Sell — Sell (to cash) when the 59-day average falls below the 104-day average