Trend-Following Backtester · Guide · backtest 한국어
equity · US
Latham Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Latham Group, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.5%, MDD -9.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -23.8%, drawdown -93.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.3%, MDD -13.1%, Sharpe 0.59, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.5%, MDD -43.5%, exposure 32%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.2%p higher than buy and hold, while drawdown improves by 80.5%p (CAGR 4.5%, MDD -9.8%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=29, k=3.5 |
7.3% | -13.1% | 0.59 | 0.56 | 1.5x | 4 | 6% |
| ADX / DI 방향성 period=29, threshold=29 |
4.5% | -9.8% | 0.51 | 0.46 | 1.3x | 4 | 4% |
| Donchian 채널 돌파 entryN=115, exitN=79 |
12.5% | -43.5% | 0.47 | 0.29 | 1.9x | 2 | 32% |
| ROC 모멘텀 n=199, threshold=0.23 |
10.5% | -43.5% | 0.44 | 0.24 | 1.7x | 10 | 18% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=24, mult=4 |
4.8% | -13.1% | 0.41 | 0.36 | 1.3x | 6 | 7% |
| EMA 크로스오버 fast=58, slow=182 |
7.1% | -43.5% | 0.36 | 0.16 | 1.5x | 3 | 35% |
| SMA 크로스오버 fast=38, slow=150 |
-1.6% | -57.5% | 0.18 | -0.03 | 0.9x | 9 | 36% |
| MACD fast=12, slow=48, signal=30 |
-7.3% | -86.9% | 0.14 | -0.08 | 0.7x | 50 | 49% |
| Supertrend period=8, mult=2.7 |
-6.8% | -65.0% | 0.13 | -0.10 | 0.7x | 42 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-6.3% | -81.8% | 0.11 | -0.08 | 0.7x | 106 | 43% |
| Buy and hold | -23.8% | -93.5% | 0.02 | -0.25 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 29-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 29-day middle average