Trend-Following Backtester · Guide · backtest 한국어
equity · US
Live Oak Bancshares, Inc. backtest
10 trend-following strategies were compared on the full daily history of Live Oak Bancshares, Inc.. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.0%, MDD -10.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.6%, drawdown -79.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.1%, MDD -57.8%, Sharpe 0.85, 58% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 24.4%, MDD -50.5%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.6%p higher than buy and hold, while drawdown improves by 21.7%p (CAGR 7.0%, MDD -10.8%, exposure 3%).
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=23, exitN=35 |
24.1% | -57.8% | 0.85 | 0.42 | 10.8x | 29 | 58% |
| SMA 크로스오버 fast=36, slow=59 |
24.4% | -50.5% | 0.85 | 0.48 | 11.1x | 45 | 55% |
| ADX / DI 방향성 period=32, threshold=35 |
7.0% | -10.8% | 0.83 | 0.65 | 2.1x | 2 | 3% |
| 볼린저 밴드 돌파 n=33, k=2 |
16.3% | -50.6% | 0.77 | 0.32 | 5.3x | 59 | 33% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=9, mult=1.5 |
17.1% | -51.0% | 0.77 | 0.34 | 5.7x | 77 | 36% |
| Supertrend period=16, mult=3 |
20.7% | -47.9% | 0.76 | 0.43 | 7.9x | 57 | 53% |
| ROC 모멘텀 n=78, threshold=-0.04 |
17.8% | -59.4% | 0.69 | 0.30 | 6.1x | 97 | 60% |
| EMA 크로스오버 fast=14, slow=55 |
16.9% | -48.8% | 0.67 | 0.35 | 5.6x | 47 | 55% |
| MACD fast=19, slow=44, signal=22 |
10.6% | -65.1% | 0.47 | 0.16 | 3.0x | 101 | 53% |
| Parabolic SAR step=0.01, maxStep=0.24 |
9.6% | -57.1% | 0.45 | 0.17 | 2.8x | 149 | 51% |
| Buy and hold | 7.6% | -79.5% | 0.39 | 0.10 | 2.2x | 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 23 days
- Sell — Sell when price breaks below the lowest low of the last 35 days