Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lockheed Martin Corporation backtest
10 trend-following strategies were compared on the full daily history of Lockheed Martin Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -85.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -62.3%, Sharpe 0.36, 61% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=53, slow=112 |
6.2% | -62.3% | 0.36 | 0.10 | 29.8x | 136 | 61% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=14, mult=3.1 |
4.5% | -46.5% | 0.33 | 0.10 | 11.9x | 205 | 30% |
| EMA 크로스오버 fast=57, slow=128 |
5.1% | -58.4% | 0.32 | 0.09 | 16.7x | 96 | 64% |
| Donchian 채널 돌파 entryN=115, exitN=72 |
4.8% | -65.0% | 0.32 | 0.07 | 14.1x | 86 | 53% |
| MACD fast=19, slow=50, signal=15 |
5.0% | -63.8% | 0.32 | 0.08 | 15.8x | 617 | 49% |
| 볼린저 밴드 돌파 n=52, k=1.5 |
4.4% | -57.0% | 0.31 | 0.08 | 11.5x | 323 | 42% |
| Parabolic SAR step=0.005, maxStep=0.14 |
4.5% | -85.3% | 0.30 | 0.05 | 11.9x | 445 | 53% |
| ROC 모멘텀 n=92, threshold=-0.04 |
4.2% | -78.3% | 0.29 | 0.05 | 10.4x | 518 | 72% |
| Supertrend period=18, mult=3.3 |
3.4% | -86.8% | 0.26 | 0.04 | 6.6x | 365 | 57% |
| ADX / DI 방향성 period=30, threshold=18 |
0.5% | -57.9% | 0.11 | 0.01 | 1.3x | 240 | 24% |
| Buy and hold | 10.7% | -85.1% | 0.46 | 0.13 | 310.8x | 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 53-day average price crosses above the 112-day average
- Sell — Sell (to cash) when the 53-day average falls below the 112-day average