Trend-Following Backtester · Guide · backtest 한국어
equity · US
Landstar System, Inc. backtest
10 trend-following strategies were compared on the full daily history of Landstar System, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.0%, drawdown -53.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -61.2%, Sharpe 0.46, 86% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=15, exitN=75 |
9.6% | -61.2% | 0.46 | 0.16 | 21.7x | 75 | 86% |
| SMA 크로스오버 fast=59, slow=135 |
8.0% | -45.4% | 0.43 | 0.18 | 12.9x | 71 | 64% |
| EMA 크로스오버 fast=51, slow=150 |
6.6% | -49.6% | 0.37 | 0.13 | 8.4x | 53 | 71% |
| ROC 모멘텀 n=113, threshold=-0.11 |
5.8% | -66.9% | 0.34 | 0.09 | 6.5x | 197 | 87% |
| ADX / DI 방향성 period=45, threshold=33 |
1.6% | -15.5% | 0.26 | 0.10 | 1.7x | 2 | 2% |
| Supertrend period=15, mult=5 |
3.2% | -65.4% | 0.25 | 0.05 | 2.9x | 90 | 60% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
-0.7% | -43.9% | 0.01 | -0.02 | 0.8x | 60 | 16% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=29, mult=2.7 |
-1.6% | -61.2% | 0.00 | -0.03 | 0.6x | 138 | 34% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-3.5% | -92.6% | -0.03 | -0.04 | 0.3x | 306 | 57% |
| MACD fast=23, slow=57, signal=21 |
-4.5% | -89.7% | -0.09 | -0.05 | 0.2x | 344 | 51% |
| Buy and hold | 15.0% | -53.3% | 0.58 | 0.28 | 107.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 15 days
- Sell — Sell when price breaks below the lowest low of the last 75 days