Trend-Following Backtester · Guide · backtest 한국어
equity · US
Liquidia Corporation backtest
10 trend-following strategies were compared on the full daily history of Liquidia Corporation. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 37.3%, MDD -50.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 25.0%, drawdown -93.9%).
Sharpe leader (same as main): Supertrend — CAGR 37.3%, MDD -50.1%, Sharpe 0.86, 38% exposure.
Return/drawdown alternative: Supertrend — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 37.3%, MDD -50.1%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=3.8 |
37.3% | -50.1% | 0.86 | 0.74 | 13.0x | 30 | 38% |
| SMA 크로스오버 fast=11, slow=99 |
34.5% | -60.5% | 0.80 | 0.57 | 11.0x | 27 | 50% |
| Donchian 채널 돌파 entryN=66, exitN=57 |
27.3% | -57.6% | 0.73 | 0.47 | 7.1x | 9 | 49% |
| ADX / DI 방향성 period=8, threshold=34 |
25.6% | -56.0% | 0.73 | 0.46 | 6.3x | 92 | 27% |
| EMA 크로스오버 fast=33, slow=140 |
26.4% | -67.3% | 0.70 | 0.39 | 6.7x | 13 | 50% |
| ROC 모멘텀 n=136, threshold=0 |
20.9% | -76.6% | 0.62 | 0.27 | 4.7x | 59 | 53% |
| 볼린저 밴드 돌파 n=57, k=1.2 |
16.5% | -56.5% | 0.55 | 0.29 | 3.5x | 40 | 38% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=28, mult=1.1 |
11.7% | -69.9% | 0.47 | 0.17 | 2.4x | 80 | 38% |
| Parabolic SAR step=0.05, maxStep=0.32 |
10.3% | -86.8% | 0.46 | 0.12 | 2.2x | 282 | 51% |
| MACD fast=4, slow=12, signal=16 |
7.3% | -92.4% | 0.42 | 0.08 | 1.8x | 236 | 52% |
| Buy and hold | 25.0% | -93.9% | 0.68 | 0.27 | 6.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)