Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lamar Advertising Company backtest
10 trend-following strategies were compared on the full daily history of Lamar Advertising Company. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.3%, MDD -61.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 8.3%, drawdown -92.3%).
Sharpe leader (same as main): Supertrend — CAGR 8.6%, MDD -77.7%, Sharpe 0.44, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 14.5%p (CAGR 7.3%, MDD -61.5%, exposure 57%).
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=5, mult=5 |
8.6% | -77.7% | 0.44 | 0.11 | 12.1x | 93 | 60% |
| ROC 모멘텀 n=24, threshold=-0.14 |
8.6% | -79.7% | 0.41 | 0.11 | 12.0x | 179 | 93% |
| SMA 크로스오버 fast=16, slow=31 |
7.3% | -61.5% | 0.40 | 0.12 | 8.2x | 234 | 57% |
| EMA 크로스오버 fast=8, slow=25 |
6.4% | -52.2% | 0.37 | 0.12 | 6.4x | 276 | 58% |
| Donchian 채널 돌파 entryN=19, exitN=26 |
6.5% | -69.5% | 0.37 | 0.09 | 6.6x | 154 | 64% |
| MACD fast=21, slow=59, signal=14 |
6.1% | -51.0% | 0.35 | 0.12 | 5.9x | 314 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
5.7% | -74.8% | 0.34 | 0.08 | 5.3x | 268 | 56% |
| ADX / DI 방향성 period=34, threshold=20 |
3.3% | -44.3% | 0.28 | 0.07 | 2.7x | 70 | 16% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
3.0% | -60.4% | 0.24 | 0.05 | 2.5x | 322 | 47% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=28, mult=4 |
2.0% | -39.0% | 0.20 | 0.05 | 1.8x | 58 | 26% |
| Buy and hold | 8.3% | -92.3% | 0.40 | 0.09 | 11.0x | 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) — 5-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)