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. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 40.5%, MDD -50.1%).

Data 2018-07-26 ~ 2026-07-31daily bars 2,014 (8.0 years)Costs 0.5%Venue XNASMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 28.7%, drawdown -93.9%).

Sharpe leader (same as main): Supertrend — CAGR 40.5%, MDD -50.1%, Sharpe 0.90, 38% exposure.

Return/drawdown alternative: Supertrend — CAGR is 11.8%p higher than buy and hold, while drawdown improves by 43.7%p (CAGR 40.5%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=26, mult=3.8
40.5%-50.1%0.900.8115.3x2938%
SMA 크로스오버
fast=11, slow=99
38.5%-60.5%0.850.6413.6x2749%
Donchian 채널 돌파
entryN=66, exitN=57
31.0%-57.6%0.780.548.7x948%
EMA 크로스오버
fast=33, slow=140
30.1%-67.3%0.760.458.2x1350%
ADX / DI 방향성
period=8, threshold=34
25.9%-56.0%0.730.466.3x9227%
ROC 모멘텀
n=136, threshold=0
24.4%-76.6%0.670.325.7x5953%
볼린저 밴드 돌파
n=57, k=1.2
19.1%-56.5%0.600.344.1x3938%
Keltner 채널 돌파
emaPeriod=32, atrPeriod=28, mult=1.1
12.8%-69.9%0.490.182.6x7938%
Parabolic SAR
step=0.05, maxStep=0.32
12.2%-86.8%0.490.142.5x28052%
MACD
fast=4, slow=12, signal=16
7.8%-92.4%0.430.081.8x23353%
Buy and hold28.7%-93.9%0.720.317.5x1100%
1x 10x 2019 2020 2021 2022 2023 2024 2025 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -47% -70% -94% 2019 2020 2021 2022 2023 2024 2025 2026 Buy and holdSupertrend
Supertrend maximum drawdown -50.1% (2024-03-22 → 2024-11-18), recovered after 509 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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