Trend-Following Backtester · Guide · backtest 한국어
equity · US
Leidos Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Leidos Holdings, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -51.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.2%, MDD -20.1%, Sharpe 0.44, 20% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=13, mult=3.4 |
4.2% | -20.1% | 0.44 | 0.21 | 2.3x | 43 | 20% |
| ROC 모멘텀 n=2, threshold=0.13 |
0.5% | -1.2% | 0.27 | 0.38 | 1.1x | 4 | 0% |
| Supertrend period=11, mult=3.3 |
3.4% | -64.2% | 0.27 | 0.05 | 1.9x | 115 | 53% |
| SMA 크로스오버 fast=40, slow=174 |
1.0% | -52.9% | 0.15 | 0.02 | 1.2x | 46 | 54% |
| Donchian 채널 돌파 entryN=69, exitN=63 |
0.3% | -58.5% | 0.11 | 0.01 | 1.1x | 39 | 53% |
| EMA 크로스오버 fast=42, slow=192 |
-0.2% | -50.8% | 0.11 | -0.00 | 1.0x | 36 | 57% |
| ADX / DI 방향성 period=35, threshold=22 |
0.3% | -31.0% | 0.08 | 0.01 | 1.1x | 35 | 12% |
| 볼린저 밴드 돌파 n=46, k=2.1 |
-0.5% | -60.7% | 0.03 | -0.01 | 0.9x | 89 | 29% |
| MACD fast=14, slow=47, signal=9 |
-2.1% | -65.3% | -0.00 | -0.03 | 0.7x | 298 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.3% | -74.1% | -0.01 | -0.03 | 0.6x | 175 | 54% |
| Buy and hold | 5.9% | -51.7% | 0.35 | 0.11 | 3.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 34-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 34-day average