Trend-Following Backtester · Guide · backtest 한국어
equity · US
Liberty Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Liberty Energy Inc.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -9.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.1%, drawdown -90.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -76.1%, Sharpe 0.41, 69% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 14.2%p (CAGR 1.9%, MDD -9.7%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=19, exitN=53 |
8.6% | -76.1% | 0.41 | 0.11 | 2.0x | 30 | 69% |
| ADX / DI 방향성 period=23, threshold=38 |
1.9% | -9.7% | 0.39 | 0.20 | 1.2x | 2 | 1% |
| ROC 모멘텀 n=124, threshold=0.02 |
7.4% | -61.7% | 0.38 | 0.12 | 1.8x | 64 | 47% |
| 볼린저 밴드 돌파 n=56, k=3.3 |
4.8% | -25.4% | 0.37 | 0.19 | 1.5x | 4 | 7% |
| SMA 크로스오버 fast=35, slow=64 |
2.5% | -64.5% | 0.28 | 0.04 | 1.2x | 34 | 52% |
| MACD fast=14, slow=23, signal=10 |
1.8% | -79.0% | 0.27 | 0.02 | 1.2x | 158 | 51% |
| Supertrend period=26, mult=2.6 |
1.6% | -66.0% | 0.24 | 0.02 | 1.1x | 78 | 47% |
| EMA 크로스오버 fast=16, slow=150 |
-0.5% | -59.7% | 0.19 | -0.01 | 1.0x | 24 | 49% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-4.5% | -72.0% | 0.11 | -0.06 | 0.7x | 120 | 49% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=27, mult=2.2 |
-1.0% | -48.8% | 0.11 | -0.02 | 0.9x | 48 | 22% |
| Buy and hold | 1.1% | -90.3% | 0.34 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 19 days
- Sell — Sell when price breaks below the lowest low of the last 53 days