Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lincoln Educational Services Corporation backtest
10 trend-following strategies were compared on the full daily history of Lincoln Educational Services Corporation. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 3.7%, MDD -42.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.5%, drawdown -99.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.3%, MDD -66.5%, Sharpe 0.42, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 32.8%p (CAGR 3.7%, MDD -42.2%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=69, exitN=67 |
9.3% | -66.5% | 0.42 | 0.14 | 6.5x | 31 | 50% |
| SMA 크로스오버 fast=57, slow=176 |
6.2% | -80.3% | 0.35 | 0.08 | 3.5x | 29 | 55% |
| MACD fast=19, slow=49, signal=22 |
6.4% | -94.6% | 0.34 | 0.07 | 3.7x | 208 | 50% |
| Supertrend period=24, mult=4.7 |
5.2% | -80.1% | 0.32 | 0.06 | 2.9x | 58 | 50% |
| EMA 크로스오버 fast=43, slow=130 |
4.6% | -84.9% | 0.31 | 0.05 | 2.6x | 39 | 54% |
| ROC 모멘텀 n=4, threshold=0.17 |
4.0% | -48.5% | 0.30 | 0.08 | 2.3x | 80 | 2% |
| 볼린저 밴드 돌파 n=50, k=3.5 |
3.7% | -42.2% | 0.29 | 0.09 | 2.1x | 22 | 11% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.8% | -80.1% | 0.28 | 0.05 | 2.2x | 360 | 52% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=4 |
3.6% | -44.8% | 0.28 | 0.08 | 2.1x | 32 | 13% |
| ADX / DI 방향성 period=27, threshold=9 |
0.7% | -87.0% | 0.20 | 0.01 | 1.1x | 300 | 49% |
| Buy and hold | 3.5% | -99.3% | 0.35 | 0.04 | 2.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 69 days
- Sell — Sell when price breaks below the lowest low of the last 67 days