Trend-Following Backtester · Guide · backtest 한국어
equity · US
Levi Strauss & Co backtest
10 trend-following strategies were compared on the full daily history of Levi Strauss & Co. 7 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 9.0%, MDD -23.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.2%, drawdown -60.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.0%, MDD -23.3%, Sharpe 0.58, 22% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 9.0%, MDD -23.3%, exposure 22%).
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=150, exitN=31 |
9.0% | -23.3% | 0.58 | 0.39 | 1.9x | 7 | 22% |
| ADX / DI 방향성 period=32, threshold=20 |
6.1% | -26.9% | 0.48 | 0.23 | 1.6x | 6 | 14% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
6.4% | -29.8% | 0.45 | 0.22 | 1.6x | 12 | 20% |
| EMA 크로스오버 fast=65, slow=167 |
6.1% | -42.0% | 0.37 | 0.15 | 1.5x | 7 | 41% |
| ROC 모멘텀 n=127, threshold=0 |
5.9% | -43.7% | 0.36 | 0.14 | 1.5x | 51 | 45% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=2.8 |
4.8% | -30.3% | 0.34 | 0.16 | 1.4x | 19 | 27% |
| SMA 크로스오버 fast=17, slow=123 |
4.3% | -43.4% | 0.29 | 0.10 | 1.4x | 23 | 43% |
| Supertrend period=28, mult=5 |
-1.9% | -52.8% | 0.06 | -0.04 | 0.9x | 23 | 49% |
| MACD fast=13, slow=57, signal=18 |
-2.4% | -50.5% | 0.05 | -0.05 | 0.8x | 88 | 51% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-9.7% | -67.2% | -0.19 | -0.14 | 0.5x | 151 | 51% |
| Buy and hold | 1.2% | -60.3% | 0.24 | 0.02 | 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 150 days
- Sell — Sell when price breaks below the lowest low of the last 31 days