Trend-Following Backtester · Guide · backtest 한국어
equity · US
Limbach Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Limbach Holdings, Inc.. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.6%, MDD -31.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.9%, drawdown -84.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.6%, MDD -31.5%, Sharpe 0.91, 20% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 30.2%, MDD -53.9%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 10.6%p higher than buy and hold, while drawdown improves by 52.6%p (CAGR 23.6%, MDD -31.5%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=52, k=3.3 |
23.6% | -31.5% | 0.91 | 0.75 | 12.8x | 16 | 20% |
| EMA 크로스오버 fast=17, slow=22 |
30.2% | -53.9% | 0.85 | 0.56 | 24.1x | 86 | 54% |
| SMA 크로스오버 fast=44, slow=85 |
27.2% | -53.5% | 0.80 | 0.51 | 18.3x | 36 | 53% |
| ROC 모멘텀 n=61, threshold=0.05 |
25.4% | -57.5% | 0.77 | 0.44 | 15.4x | 74 | 40% |
| Supertrend period=15, mult=4.2 |
24.7% | -55.9% | 0.74 | 0.44 | 14.4x | 54 | 56% |
| Parabolic SAR step=0.005, maxStep=0.2 |
22.1% | -51.9% | 0.71 | 0.43 | 11.1x | 82 | 50% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=15, mult=2.5 |
21.0% | -49.5% | 0.71 | 0.42 | 10.0x | 44 | 42% |
| Donchian 채널 돌파 entryN=27, exitN=51 |
21.7% | -68.8% | 0.66 | 0.32 | 10.7x | 32 | 63% |
| ADX / DI 방향성 period=27, threshold=11 |
17.1% | -51.4% | 0.61 | 0.33 | 6.7x | 150 | 49% |
| MACD fast=12, slow=31, signal=19 |
2.1% | -69.3% | 0.27 | 0.03 | 1.3x | 180 | 52% |
| Buy and hold | 12.9% | -84.1% | 0.51 | 0.15 | 4.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 52-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 52-day middle average