Trend-Following Backtester · Guide · backtest 한국어
equity · US
LeMaitre Vascular, Inc. backtest
10 trend-following strategies were compared on the full daily history of LeMaitre Vascular, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.3%, MDD -42.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.7%, drawdown -75.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.3%, MDD -42.8%, Sharpe 0.53, 78% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 32.8%p (CAGR 13.3%, MDD -42.8%, exposure 78%).
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=47, exitN=101 |
13.3% | -42.8% | 0.53 | 0.31 | 12.0x | 22 | 78% |
| SMA 크로스오버 fast=19, slow=150 |
11.9% | -47.4% | 0.51 | 0.25 | 9.3x | 46 | 62% |
| EMA 크로스오버 fast=45, slow=233 |
10.7% | -45.7% | 0.48 | 0.23 | 7.5x | 22 | 68% |
| Supertrend period=14, mult=5 |
9.2% | -61.8% | 0.43 | 0.15 | 5.7x | 38 | 63% |
| ROC 모멘텀 n=147, threshold=-0.08 |
7.8% | -56.2% | 0.39 | 0.14 | 4.5x | 109 | 74% |
| ADX / DI 방향성 period=36, threshold=22 |
1.6% | -40.0% | 0.20 | 0.04 | 1.4x | 26 | 10% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=11, mult=2.2 |
0.9% | -73.0% | 0.17 | 0.01 | 1.2x | 72 | 41% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
0.2% | -47.4% | 0.15 | 0.01 | 1.0x | 100 | 42% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-4.6% | -70.5% | 0.03 | -0.07 | 0.4x | 156 | 55% |
| MACD fast=18, slow=40, signal=12 |
-8.1% | -84.4% | -0.07 | -0.10 | 0.2x | 290 | 50% |
| Buy and hold | 13.7% | -75.7% | 0.51 | 0.18 | 12.9x | 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 47 days
- Sell — Sell when price breaks below the lowest low of the last 101 days