Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lindsay Corporation backtest
10 trend-following strategies were compared on the full daily history of Lindsay Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.4%, drawdown -82.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.9%, MDD -69.7%, Sharpe 0.34, 87% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=10, exitN=72 |
5.9% | -69.7% | 0.34 | 0.09 | 8.8x | 125 | 87% |
| ROC 모멘텀 n=89, threshold=-0.15 |
5.7% | -65.1% | 0.33 | 0.09 | 8.1x | 203 | 88% |
| ADX / DI 방향성 period=34, threshold=38 |
1.9% | -13.7% | 0.33 | 0.14 | 2.1x | 10 | 3% |
| SMA 크로스오버 fast=43, slow=51 |
4.0% | -85.7% | 0.28 | 0.05 | 4.4x | 327 | 57% |
| EMA 크로스오버 fast=59, slow=262 |
2.3% | -75.6% | 0.22 | 0.03 | 2.3x | 54 | 63% |
| Parabolic SAR step=0.02, maxStep=0.16 |
1.1% | -95.3% | 0.18 | 0.01 | 1.5x | 704 | 52% |
| Supertrend period=5, mult=4 |
0.7% | -85.4% | 0.16 | 0.01 | 1.3x | 208 | 56% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=10, mult=4 |
-0.6% | -71.1% | 0.06 | -0.01 | 0.8x | 88 | 21% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.1% | -38.1% | 0.05 | 0.00 | 1.0x | 32 | 4% |
| MACD fast=8, slow=13, signal=15 |
-6.8% | -96.6% | -0.11 | -0.07 | 0.1x | 850 | 51% |
| Buy and hold | 12.4% | -82.9% | 0.49 | 0.15 | 81.7x | 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 10 days
- Sell — Sell when price breaks below the lowest low of the last 72 days