Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lakeland Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Lakeland Financial Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.9%, drawdown -63.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.9%, MDD -5.7%, Sharpe 0.37, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.5%, MDD -55.8%, exposure 62%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=27, threshold=42 |
0.9% | -5.7% | 0.37 | 0.15 | 1.3x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=13, mult=4 |
1.9% | -15.4% | 0.32 | 0.12 | 1.7x | 20 | 6% |
| SMA 크로스오버 fast=58, slow=252 |
3.5% | -55.8% | 0.27 | 0.06 | 2.7x | 33 | 62% |
| EMA 크로스오버 fast=58, slow=155 |
1.9% | -67.3% | 0.20 | 0.03 | 1.7x | 49 | 65% |
| Donchian 채널 돌파 entryN=10, exitN=79 |
-0.5% | -79.1% | 0.14 | -0.01 | 0.9x | 87 | 88% |
| Supertrend period=4, mult=4 |
-0.4% | -67.6% | 0.10 | -0.01 | 0.9x | 121 | 57% |
| 볼린저 밴드 돌파 n=51, k=3.4 |
0.4% | -42.1% | 0.09 | 0.01 | 1.1x | 22 | 6% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.1% | -79.1% | -0.05 | -0.05 | 0.3x | 244 | 53% |
| MACD fast=18, slow=44, signal=30 |
-5.7% | -84.4% | -0.13 | -0.07 | 0.2x | 294 | 49% |
| ROC 모멘텀 n=184, threshold=0.14 |
-4.9% | -86.6% | -0.25 | -0.06 | 0.2x | 266 | 29% |
| Buy and hold | 7.9% | -63.6% | 0.39 | 0.12 | 9.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 27-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)