Trend-Following Backtester · Guide · backtest 한국어
equity · US
Leonardo DRS, Inc. backtest
10 trend-following strategies were compared on the full daily history of Leonardo DRS, Inc.. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.6%, MDD -60.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR -0.9%, drawdown -99.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.2%, MDD -72.7%, Sharpe 0.36, 47% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 0.6%, MDD -60.3%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=40, slow=72 |
7.2% | -72.7% | 0.36 | 0.10 | 17.3x | 155 | 47% |
| Donchian 채널 돌파 entryN=30, exitN=60 |
0.6% | -94.2% | 0.28 | 0.01 | 1.3x | 101 | 63% |
| EMA 크로스오버 fast=56, slow=79 |
-0.2% | -91.7% | 0.23 | -0.00 | 0.9x | 91 | 50% |
| MACD fast=37, slow=59, signal=38 |
-2.9% | -98.1% | 0.21 | -0.03 | 0.3x | 227 | 51% |
| Supertrend period=23, mult=5 |
-2.7% | -98.6% | 0.17 | -0.03 | 0.3x | 94 | 49% |
| ROC 모멘텀 n=110, threshold=-0.11 |
-9.1% | -100.0% | 0.13 | -0.09 | 0.0x | 443 | 65% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=29, mult=3.1 |
-0.3% | -70.8% | 0.13 | -0.00 | 0.9x | 92 | 10% |
| ADX / DI 방향성 period=28, threshold=32 |
0.6% | -60.3% | 0.12 | 0.01 | 1.3x | 28 | 7% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-6.5% | -99.4% | 0.11 | -0.07 | 0.1x | 257 | 44% |
| 볼린저 밴드 돌파 n=13, k=3.2 |
0.1% | -61.6% | 0.10 | 0.00 | 1.1x | 44 | 2% |
| Buy and hold | -0.9% | -99.6% | 0.35 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 40-day average price crosses above the 72-day average
- Sell — Sell (to cash) when the 40-day average falls below the 72-day average