Trend-Following Backtester · Guide · backtest 한국어
equity · US
Liberty Global Ltd. backtest
10 trend-following strategies were compared on the full daily history of Liberty Global Ltd.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 1.3%, MDD -54.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.0%, drawdown -82.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.1%, MDD -58.3%, Sharpe 0.30, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 1.3%, MDD -54.7%, exposure 51%).
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=43, slow=179 |
4.1% | -58.3% | 0.30 | 0.07 | 2.4x | 36 | 58% |
| EMA 크로스오버 fast=62, slow=103 |
1.7% | -67.0% | 0.20 | 0.03 | 1.5x | 40 | 57% |
| ROC 모멘텀 n=149, threshold=0 |
1.6% | -67.0% | 0.20 | 0.02 | 1.4x | 134 | 56% |
| Supertrend period=15, mult=3.5 |
1.3% | -54.7% | 0.18 | 0.02 | 1.3x | 106 | 51% |
| Donchian 채널 돌파 entryN=63, exitN=74 |
0.9% | -58.2% | 0.17 | 0.02 | 1.2x | 38 | 58% |
| 볼린저 밴드 돌파 n=30, k=2.4 |
0.6% | -53.6% | 0.14 | 0.01 | 1.1x | 92 | 23% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=26, mult=2.5 |
0.5% | -26.9% | 0.11 | 0.02 | 1.1x | 42 | 6% |
| ADX / DI 방향성 period=36, threshold=18 |
0.5% | -45.4% | 0.10 | 0.01 | 1.1x | 60 | 18% |
| MACD fast=16, slow=25, signal=13 |
-6.4% | -90.0% | -0.12 | -0.07 | 0.2x | 327 | 51% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-6.2% | -86.1% | -0.14 | -0.07 | 0.2x | 204 | 52% |
| Buy and hold | 1.0% | -82.0% | 0.21 | 0.01 | 1.2x | 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 43-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 43-day average falls below the 179-day average