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 7.5%, MDD -23.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.1%, drawdown -60.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -23.3%, Sharpe 0.50, 22% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 37.0%p (CAGR 7.5%, 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 |
7.5% | -23.3% | 0.50 | 0.32 | 1.7x | 8 | 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 | 0.21 | 1.6x | 12 | 20% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=17, mult=2.8 |
4.2% | -30.3% | 0.31 | 0.14 | 1.4x | 20 | 27% |
| EMA 크로스오버 fast=65, slow=167 |
3.7% | -42.0% | 0.27 | 0.09 | 1.3x | 7 | 42% |
| ROC 모멘텀 n=127, threshold=0 |
3.7% | -43.7% | 0.27 | 0.09 | 1.3x | 52 | 45% |
| SMA 크로스오버 fast=17, slow=123 |
2.2% | -43.4% | 0.21 | 0.05 | 1.2x | 24 | 44% |
| MACD fast=13, slow=57, signal=18 |
-2.4% | -50.5% | 0.05 | -0.05 | 0.8x | 88 | 50% |
| Supertrend period=28, mult=5 |
-3.8% | -52.8% | -0.01 | -0.07 | 0.7x | 24 | 49% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-10.6% | -67.2% | -0.23 | -0.16 | 0.4x | 152 | 51% |
| Buy and hold | -1.1% | -60.3% | 0.19 | -0.02 | 0.9x | 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