Trend-Following Backtester · Guide · backtest 한국어
equity · US
Loews Corporation backtest
10 trend-following strategies were compared on the full daily history of Loews Corporation. 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 -66.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -45.9%, Sharpe 0.55, 65% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.3%, MDD -62.0%, exposure 84%.
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=34, slow=209 |
8.6% | -45.9% | 0.55 | 0.19 | 46.8x | 67 | 65% |
| EMA 크로스오버 fast=51, slow=132 |
8.3% | -39.2% | 0.53 | 0.21 | 40.1x | 69 | 67% |
| Donchian 채널 돌파 entryN=11, exitN=56 |
9.3% | -62.0% | 0.53 | 0.15 | 63.5x | 155 | 84% |
| ROC 모멘텀 n=176, threshold=-0.02 |
7.6% | -54.3% | 0.50 | 0.14 | 29.8x | 233 | 69% |
| Supertrend period=13, mult=5 |
6.8% | -54.7% | 0.47 | 0.12 | 21.1x | 175 | 59% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=20, mult=2.3 |
4.2% | -64.5% | 0.35 | 0.06 | 6.6x | 238 | 46% |
| ADX / DI 방향성 period=21, threshold=37 |
1.5% | -13.2% | 0.31 | 0.11 | 2.0x | 34 | 4% |
| 볼린저 밴드 돌파 n=59, k=1.5 |
3.2% | -77.9% | 0.28 | 0.04 | 4.3x | 254 | 45% |
| Parabolic SAR step=0.01, maxStep=0.14 |
1.9% | -81.3% | 0.19 | 0.02 | 2.4x | 636 | 56% |
| MACD fast=22, slow=40, signal=21 |
-1.0% | -88.5% | 0.03 | -0.01 | 0.6x | 492 | 52% |
| Buy and hold | 11.5% | -66.0% | 0.55 | 0.17 | 160.3x | 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 34-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 34-day average falls below the 209-day average