Trend-Following Backtester · Guide · backtest 한국어
equity · US
Liberty Media Corporation - Series A backtest
10 trend-following strategies were compared on the full daily history of Liberty Media Corporation - Series A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 98% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.1%, drawdown -60.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.2%, MDD -39.1%, Sharpe 0.65, 98% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 98% n=18, threshold=-0.15 |
15.2% | -39.1% | 0.65 | 0.39 | 6.9x | 19 | 98% |
| Donchian 채널 돌파 entryN=17, exitN=66 |
7.9% | -51.3% | 0.43 | 0.15 | 2.8x | 35 | 80% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
3.2% | -16.5% | 0.40 | 0.19 | 1.5x | 9 | 11% |
| SMA 크로스오버 fast=25, slow=67 |
5.2% | -42.6% | 0.34 | 0.12 | 2.0x | 61 | 62% |
| Supertrend period=23, mult=5 |
5.0% | -48.4% | 0.33 | 0.10 | 1.9x | 37 | 63% |
| EMA 크로스오버 fast=35, slow=58 |
4.5% | -50.3% | 0.31 | 0.09 | 1.8x | 39 | 66% |
| ADX / DI 방향성 period=33, threshold=32 |
0.7% | -4.7% | 0.26 | 0.15 | 1.1x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=9, mult=3.6 |
0.1% | -6.1% | 0.06 | 0.02 | 1.0x | 2 | 0% |
| MACD fast=18, slow=22, signal=18 |
-1.4% | -50.2% | 0.03 | -0.03 | 0.8x | 202 | 51% |
| Parabolic SAR step=0.045, maxStep=0.26 |
-7.7% | -69.4% | -0.25 | -0.11 | 0.3x | 512 | 54% |
| Buy and hold | 12.1% | -60.8% | 0.53 | 0.20 | 4.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 18-day return is greater than -15%
- Sell — Sell when the 18-day return drops to -15% or below