Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lantheus Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lantheus Holdings, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 40.6%, MDD -47.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 27.4%, drawdown -78.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 40.6%, MDD -47.7%, Sharpe 0.94, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 40.6%, MDD -47.7%, exposure 55%).
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=21, slow=88 |
40.6% | -47.7% | 0.94 | 0.85 | 43.8x | 29 | 55% |
| EMA 크로스오버 fast=20, slow=52 |
37.1% | -51.7% | 0.87 | 0.72 | 33.3x | 35 | 56% |
| Donchian 채널 돌파 entryN=110, exitN=56 |
33.6% | -48.4% | 0.85 | 0.69 | 24.8x | 13 | 48% |
| ROC 모멘텀 n=135, threshold=-0.06 |
32.0% | -57.6% | 0.80 | 0.55 | 21.7x | 83 | 60% |
| ADX / DI 방향성 period=32, threshold=11 |
30.3% | -63.8% | 0.78 | 0.48 | 18.9x | 93 | 53% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=21, mult=3.4 |
22.5% | -43.6% | 0.69 | 0.52 | 9.5x | 27 | 38% |
| Supertrend period=17, mult=4.8 |
24.1% | -66.8% | 0.67 | 0.36 | 11.0x | 33 | 53% |
| 볼린저 밴드 돌파 n=57, k=3 |
17.7% | -49.7% | 0.62 | 0.36 | 6.1x | 22 | 27% |
| MACD fast=12, slow=47, signal=10 |
19.7% | -47.5% | 0.62 | 0.41 | 7.4x | 158 | 52% |
| Parabolic SAR step=0.01, maxStep=0.12 |
8.9% | -82.8% | 0.41 | 0.11 | 2.6x | 148 | 49% |
| Buy and hold | 27.4% | -78.6% | 0.69 | 0.35 | 14.6x | 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 21-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 21-day average falls below the 88-day average