Trend-Following Backtester · Guide · backtest 한국어
etf · US
Liberty All-Star Equity Fund backtest
10 trend-following strategies were compared on the full daily history of Liberty All-Star Equity Fund. 5 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 0.1%, MDD -2.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -1.4%, drawdown -84.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.1%, MDD -2.7%, Sharpe 0.21, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 1.3%, MDD -33.8%, exposure 58%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 81.5%p (CAGR 0.1%, MDD -2.7%, exposure 0%).
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=21, threshold=63 |
0.1% | -2.7% | 0.21 | 0.05 | 1.1x | 4 | 0% |
| Donchian 채널 돌파 entryN=62, exitN=78 |
1.3% | -33.8% | 0.16 | 0.04 | 1.7x | 68 | 58% |
| SMA 크로스오버 fast=29, slow=164 |
0.7% | -41.4% | 0.12 | 0.02 | 1.3x | 74 | 55% |
| EMA 크로스오버 fast=43, slow=85 |
0.5% | -37.5% | 0.11 | 0.01 | 1.2x | 96 | 56% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
-0.1% | -6.2% | -0.04 | -0.01 | 1.0x | 2 | 0% |
| Supertrend period=9, mult=3.4 |
-1.8% | -59.6% | -0.06 | -0.03 | 0.5x | 208 | 57% |
| ROC 모멘텀 n=119, threshold=-0.04 |
-2.7% | -67.0% | -0.11 | -0.04 | 0.3x | 309 | 66% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=24, mult=3.4 |
-1.8% | -56.6% | -0.20 | -0.03 | 0.5x | 92 | 19% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.2% | -83.0% | -0.22 | -0.05 | 0.2x | 304 | 56% |
| MACD fast=19, slow=58, signal=19 |
-7.0% | -95.0% | -0.43 | -0.07 | 0.1x | 432 | 51% |
| Buy and hold | -1.4% | -84.2% | 0.06 | -0.02 | 0.6x | 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, 21-day) is ≥ 63
- Sell — Sell when direction flips or the trend weakens (ADX < 63)