Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lamb Weston Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lamb Weston Holdings, Inc.. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.1%, MDD -32.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 6.1%, drawdown -66.6%).
Sharpe leader (same as main): Supertrend — CAGR 13.3%, MDD -52.6%, Sharpe 0.64, 65% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 13.9%p (CAGR 8.1%, MDD -32.4%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.5 |
13.3% | -52.6% | 0.64 | 0.25 | 3.4x | 27 | 65% |
| ADX / DI 방향성 period=25, threshold=34 |
1.7% | -7.2% | 0.51 | 0.24 | 1.2x | 6 | 5% |
| Donchian 채널 돌파 entryN=41, exitN=33 |
8.1% | -32.4% | 0.48 | 0.25 | 2.2x | 27 | 54% |
| SMA 크로스오버 fast=28, slow=32 |
8.1% | -39.5% | 0.45 | 0.21 | 2.2x | 99 | 60% |
| ROC 모멘텀 n=143, threshold=0.14 |
5.8% | -38.2% | 0.44 | 0.15 | 1.7x | 59 | 39% |
| 볼린저 밴드 돌파 n=46, k=1.9 |
4.6% | -38.5% | 0.37 | 0.12 | 1.6x | 51 | 41% |
| EMA 크로스오버 fast=18, slow=39 |
5.1% | -51.3% | 0.33 | 0.10 | 1.6x | 41 | 58% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=20, mult=0.7 |
3.9% | -50.5% | 0.30 | 0.08 | 1.5x | 89 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
3.4% | -58.0% | 0.26 | 0.06 | 1.4x | 79 | 55% |
| MACD fast=22, slow=48, signal=39 |
2.0% | -50.5% | 0.20 | 0.04 | 1.2x | 75 | 53% |
| Buy and hold | 6.1% | -66.6% | 0.35 | 0.09 | 1.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)