Trend-Following Backtester · Guide · backtest 한국어

equity · US

Leggett & Platt, Incorporated backtest

10 trend-following strategies were compared on the full daily history of Leggett & Platt, Incorporated. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.1%, MDD -62.5%).

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

0 of 10 beat buy and hold (CAGR 6.6%, drawdown -88.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.1%, MDD -62.5%, Sharpe 0.37, 45% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 26.1%p (CAGR 5.1%, MDD -62.5%, exposure 45%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=111, exitN=71
5.1%-62.5%0.370.0810.1x6045%
SMA 크로스오버
fast=45, slow=132
5.1%-70.6%0.340.0710.1x9658%
Keltner 채널 돌파
emaPeriod=56, atrPeriod=15, mult=3.4
3.4%-53.6%0.300.064.8x14832%
EMA 크로스오버
fast=51, slow=138
4.0%-79.2%0.290.056.1x7758%
ADX / DI 방향성
period=46, threshold=33
1.3%-23.8%0.270.051.8x42%
Supertrend
period=14, mult=4.9
2.7%-68.9%0.230.043.5x18355%
ROC 모멘텀
n=127, threshold=0.02
2.7%-83.3%0.230.033.4x33455%
볼린저 밴드 돌파
n=52, k=1.2
2.0%-76.0%0.200.032.5x30045%
Parabolic SAR
step=0.005, maxStep=0.36
-1.1%-90.8%0.06-0.010.6x39255%
MACD
fast=18, slow=49, signal=18
-1.6%-89.6%0.04-0.020.5x52251%
Buy and hold6.6%-88.7%0.360.0719.7x1100%
1x 10x 100x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -44% -67% -89% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -62.5% (1998-07-15 → 2009-07-07), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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