Trend-Following Backtester · Guide · backtest 한국어
equity · US
Liberty Broadband Corporation backtest
10 trend-following strategies were compared on the full daily history of Liberty Broadband Corporation. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.1%, MDD -14.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.9%, drawdown -83.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -38.2%, Sharpe 0.42, 54% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 45.3%p (CAGR 1.1%, MDD -14.7%, exposure 6%).
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=57, slow=190 |
7.5% | -38.2% | 0.42 | 0.20 | 2.3x | 12 | 54% |
| Donchian 채널 돌파 entryN=101, exitN=29 |
4.8% | -26.6% | 0.38 | 0.18 | 1.7x | 24 | 33% |
| EMA 크로스오버 fast=19, slow=137 |
5.0% | -35.6% | 0.33 | 0.14 | 1.8x | 18 | 55% |
| ROC 모멘텀 n=58, threshold=-0.04 |
3.0% | -51.9% | 0.24 | 0.06 | 1.4x | 104 | 63% |
| Supertrend period=21, mult=4.4 |
2.3% | -47.1% | 0.22 | 0.05 | 1.3x | 44 | 52% |
| 볼린저 밴드 돌파 n=27, k=3.5 |
1.1% | -14.7% | 0.20 | 0.08 | 1.1x | 8 | 6% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=1.5 |
0.6% | -53.0% | 0.12 | 0.01 | 1.1x | 68 | 42% |
| ADX / DI 방향성 period=38, threshold=12 |
-0.5% | -41.2% | 0.06 | -0.01 | 0.9x | 96 | 40% |
| MACD fast=18, slow=55, signal=32 |
-4.8% | -72.7% | -0.10 | -0.07 | 0.6x | 103 | 49% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-6.5% | -69.2% | -0.17 | -0.09 | 0.5x | 237 | 52% |
| Buy and hold | -1.9% | -83.5% | 0.12 | -0.02 | 0.8x | 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 57-day average price crosses above the 190-day average
- Sell — Sell (to cash) when the 57-day average falls below the 190-day average