Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lennar Corporation backtest
10 trend-following strategies were compared on the full daily history of Lennar Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.7%, MDD -71.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -94.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.7%, MDD -71.9%, Sharpe 0.40, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 7.7%, MDD -71.9%, exposure 59%).
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=46, slow=136 |
7.7% | -71.9% | 0.40 | 0.11 | 31.7x | 96 | 59% |
| Donchian 채널 돌파 entryN=12, exitN=77 |
7.2% | -81.6% | 0.38 | 0.09 | 25.1x | 151 | 85% |
| EMA 크로스오버 fast=58, slow=127 |
5.6% | -83.1% | 0.34 | 0.07 | 12.6x | 76 | 59% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
3.0% | -37.6% | 0.31 | 0.08 | 4.0x | 32 | 8% |
| ROC 모멘텀 n=119, threshold=-0.03 |
4.3% | -80.2% | 0.30 | 0.05 | 7.2x | 382 | 61% |
| Supertrend period=25, mult=4.7 |
4.3% | -85.6% | 0.29 | 0.05 | 7.1x | 180 | 56% |
| ADX / DI 방향성 period=30, threshold=23 |
3.1% | -50.5% | 0.28 | 0.06 | 4.1x | 94 | 13% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=14, mult=3.6 |
1.1% | -25.6% | 0.22 | 0.04 | 1.7x | 30 | 2% |
| MACD fast=18, slow=55, signal=19 |
-0.8% | -87.3% | 0.13 | -0.01 | 0.7x | 496 | 52% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.7% | -90.4% | 0.07 | -0.03 | 0.3x | 400 | 54% |
| Buy and hold | 9.6% | -94.7% | 0.43 | 0.10 | 70.0x | 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 46-day average price crosses above the 136-day average
- Sell — Sell (to cash) when the 46-day average falls below the 136-day average