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.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.9%, MDD -10.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.7%, drawdown -79.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.9%, MDD -10.8%, Sharpe 0.83, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.3%, MDD -50.5%, exposure 55%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 68.7%p (CAGR 6.9%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=32, threshold=35 |
6.9% | -10.8% | 0.83 | 0.64 | 2.1x | 2 | 3% |
| Donchian 채널 돌파 entryN=23, exitN=35 |
23.0% | -57.8% | 0.83 | 0.40 | 10.0x | 29 | 58% |
| SMA 크로스오버 fast=36, slow=59 |
23.3% | -50.5% | 0.82 | 0.46 | 10.3x | 45 | 55% |
| 볼린저 밴드 돌파 n=33, k=2 |
15.6% | -50.6% | 0.74 | 0.31 | 5.0x | 60 | 33% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=9, mult=1.5 |
16.5% | -51.0% | 0.74 | 0.32 | 5.4x | 78 | 36% |
| Supertrend period=16, mult=3 |
19.8% | -47.9% | 0.74 | 0.41 | 7.4x | 58 | 53% |
| ROC 모멘텀 n=78, threshold=-0.04 |
16.8% | -59.4% | 0.66 | 0.28 | 5.6x | 97 | 60% |
| EMA 크로스오버 fast=14, slow=55 |
15.9% | -48.8% | 0.64 | 0.33 | 5.2x | 47 | 56% |
| MACD fast=19, slow=44, signal=22 |
10.4% | -65.1% | 0.46 | 0.16 | 3.0x | 102 | 52% |
| Parabolic SAR step=0.01, maxStep=0.24 |
9.1% | -57.1% | 0.43 | 0.16 | 2.6x | 150 | 51% |
| Buy and hold | 6.7% | -79.5% | 0.37 | 0.08 | 2.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 32-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)