Trend-Following Backtester · Guide · backtest 한국어
equity · US
La-Z-Boy Incorporated backtest
10 trend-following strategies were compared on the full daily history of La-Z-Boy Incorporated. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.8%, MDD -65.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.6%, drawdown -98.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -25.7%, Sharpe 0.51, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.8%, MDD -65.3%, exposure 72%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.3%p lower than buy and hold, while drawdown improves by 72.3%p (CAGR 8.8%, MDD -65.3%, exposure 72%).
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=36, threshold=37 |
3.2% | -25.7% | 0.51 | 0.13 | 5.5x | 14 | 6% |
| Donchian 채널 돌파 entryN=15, exitN=61 |
8.8% | -65.3% | 0.42 | 0.13 | 89.4x | 170 | 72% |
| SMA 크로스오버 fast=21, slow=66 |
5.5% | -80.5% | 0.33 | 0.07 | 17.7x | 214 | 54% |
| Supertrend period=5, mult=5 |
4.3% | -88.4% | 0.29 | 0.05 | 9.5x | 194 | 52% |
| 볼린저 밴드 돌파 n=56, k=2.2 |
3.8% | -72.3% | 0.28 | 0.05 | 7.3x | 196 | 32% |
| EMA 크로스오버 fast=15, slow=29 |
2.6% | -83.3% | 0.23 | 0.03 | 4.0x | 374 | 54% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=18, mult=2.5 |
2.2% | -71.1% | 0.21 | 0.03 | 3.2x | 258 | 21% |
| Parabolic SAR step=0.005, maxStep=0.38 |
1.9% | -85.4% | 0.21 | 0.02 | 2.8x | 412 | 50% |
| ROC 모멘텀 n=57, threshold=-0.03 |
0.2% | -89.1% | 0.15 | 0.00 | 1.1x | 650 | 62% |
| MACD fast=17, slow=56, signal=17 |
-0.6% | -95.8% | 0.12 | -0.01 | 0.7x | 588 | 51% |
| Buy and hold | 4.6% | -98.1% | 0.32 | 0.05 | 10.9x | 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, 36-day) is ≥ 37
- Sell — Sell when direction flips or the trend weakens (ADX < 37)