Trend-Following Backtester · Guide · backtest 한국어
equity · US
Liquidity Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Liquidity Services, Inc.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 9.6%, MDD -55.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.0%, drawdown -95.3%).
Sharpe leader (same as main): Supertrend — CAGR 10.2%, MDD -71.9%, Sharpe 0.44, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 23.4%p (CAGR 9.6%, MDD -55.0%, exposure 33%).
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=13, mult=4.5 |
10.2% | -71.9% | 0.44 | 0.14 | 7.3x | 61 | 54% |
| Donchian 채널 돌파 entryN=98, exitN=28 |
9.6% | -55.0% | 0.44 | 0.17 | 6.5x | 37 | 33% |
| EMA 크로스오버 fast=18, slow=157 |
9.7% | -68.1% | 0.43 | 0.14 | 6.6x | 45 | 50% |
| SMA 크로스오버 fast=30, slow=114 |
8.2% | -81.5% | 0.39 | 0.10 | 5.0x | 51 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.4% | -72.2% | 0.35 | 0.09 | 3.5x | 168 | 49% |
| ROC 모멘텀 n=123, threshold=0.01 |
5.9% | -73.9% | 0.34 | 0.08 | 3.2x | 171 | 50% |
| ADX / DI 방향성 period=52, threshold=12 |
3.7% | -64.5% | 0.26 | 0.06 | 2.1x | 74 | 27% |
| MACD fast=19, slow=53, signal=16 |
2.7% | -74.8% | 0.26 | 0.04 | 1.7x | 212 | 51% |
| 볼린저 밴드 돌파 n=26, k=1.5 |
1.9% | -67.9% | 0.22 | 0.03 | 1.5x | 202 | 39% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=18, mult=3.3 |
1.2% | -54.4% | 0.17 | 0.02 | 1.3x | 62 | 24% |
| Buy and hold | 6.0% | -95.3% | 0.38 | 0.06 | 3.3x | 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) — 13-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)