Trend-Following Backtester · Guide · backtest 한국어
equity · US
loanDepot, Inc. backtest
10 trend-following strategies were compared on the full daily history of loanDepot, 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 16.8%, MDD -32.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -43.4%, drawdown -96.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.4%, MDD -41.9%, Sharpe 0.73, 28% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 69.9%p higher than buy and hold, while drawdown improves by 55.0%p (CAGR 16.8%, MDD -32.1%, exposure 6%).
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=21, slow=57 |
26.4% | -41.9% | 0.73 | 0.63 | 3.6x | 16 | 28% |
| Donchian 채널 돌파 entryN=86, exitN=3 |
16.8% | -32.1% | 0.66 | 0.52 | 2.3x | 14 | 6% |
| 볼린저 밴드 돌파 n=44, k=3.1 |
15.5% | -36.6% | 0.58 | 0.42 | 2.2x | 6 | 11% |
| EMA 크로스오버 fast=20, slow=36 |
15.3% | -48.3% | 0.53 | 0.32 | 2.2x | 14 | 27% |
| ROC 모멘텀 n=52, threshold=0.09 |
9.0% | -51.8% | 0.41 | 0.17 | 1.6x | 32 | 25% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=13, mult=1.3 |
8.1% | -50.4% | 0.39 | 0.16 | 1.5x | 22 | 22% |
| ADX / DI 방향성 period=18, threshold=27 |
6.5% | -36.0% | 0.35 | 0.18 | 1.4x | 16 | 15% |
| Supertrend period=36, mult=4 |
0.3% | -66.0% | 0.23 | 0.01 | 1.0x | 18 | 28% |
| MACD fast=11, slow=66, signal=24 |
-12.5% | -81.6% | 0.04 | -0.15 | 0.5x | 44 | 50% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-16.2% | -83.9% | -0.06 | -0.19 | 0.4x | 133 | 42% |
| Buy and hold | -43.4% | -96.9% | -0.34 | -0.45 | 0.0x | 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 21-day average price crosses above the 57-day average
- Sell — Sell (to cash) when the 21-day average falls below the 57-day average