Trend-Following Backtester · Guide · backtest 한국어
equity · US
LegalZoom.com, Inc. backtest
10 trend-following strategies were compared on the full daily history of LegalZoom.com, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR -2.8%, MDD -40.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -29.5%, drawdown -86.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -0.9%, MDD -55.8%, Sharpe 0.17, 37% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 28.6%p higher than buy and hold, while drawdown improves by 30.6%p (CAGR -2.8%, MDD -40.6%, exposure 20%).
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=57, slow=111 |
-0.9% | -55.8% | 0.17 | -0.02 | 1.0x | 9 | 37% |
| Donchian 채널 돌파 entryN=53, exitN=19 |
-2.8% | -40.6% | 0.03 | -0.07 | 0.9x | 12 | 20% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
-4.7% | -45.6% | -0.03 | -0.10 | 0.8x | 18 | 25% |
| ROC 모멘텀 n=67, threshold=0.06 |
-8.2% | -48.8% | -0.08 | -0.17 | 0.6x | 40 | 30% |
| EMA 크로스오버 fast=35, slow=52 |
-10.2% | -67.7% | -0.11 | -0.15 | 0.6x | 14 | 35% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=19, mult=2.9 |
-6.5% | -49.2% | -0.14 | -0.13 | 0.7x | 14 | 18% |
| ADX / DI 방향성 period=28, threshold=20 |
-4.2% | -43.1% | -0.16 | -0.10 | 0.8x | 14 | 15% |
| Supertrend period=13, mult=4.4 |
-13.3% | -59.7% | -0.19 | -0.22 | 0.5x | 18 | 47% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-22.0% | -73.9% | -0.43 | -0.30 | 0.3x | 175 | 47% |
| MACD fast=16, slow=43, signal=17 |
-28.0% | -82.1% | -0.54 | -0.34 | 0.2x | 54 | 52% |
| Buy and hold | -29.5% | -86.4% | -0.29 | -0.34 | 0.2x | 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 57-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 57-day average falls below the 111-day average