Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lyft, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lyft, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -25.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -18.7%, drawdown -89.9%).
Sharpe leader (same as main): Supertrend — CAGR 5.7%, MDD -72.4%, Sharpe 0.34, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 24.4%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 2.4%, MDD -25.3%, exposure 5%).
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=34, mult=3.6 |
5.7% | -72.4% | 0.34 | 0.08 | 1.5x | 35 | 40% |
| MACD fast=13, slow=33, signal=6 |
4.9% | -64.5% | 0.33 | 0.08 | 1.4x | 128 | 51% |
| Donchian 채널 돌파 entryN=148, exitN=58 |
4.4% | -28.7% | 0.29 | 0.15 | 1.4x | 6 | 17% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=19, mult=2.1 |
4.0% | -29.2% | 0.29 | 0.14 | 1.3x | 28 | 9% |
| ADX / DI 방향성 period=22, threshold=30 |
2.4% | -25.3% | 0.25 | 0.09 | 1.2x | 10 | 5% |
| EMA 크로스오버 fast=24, slow=155 |
2.7% | -51.0% | 0.24 | 0.05 | 1.2x | 11 | 31% |
| SMA 크로스오버 fast=58, slow=195 |
-2.1% | -61.0% | 0.10 | -0.03 | 0.9x | 8 | 35% |
| ROC 모멘텀 n=123, threshold=0.07 |
-3.4% | -71.9% | 0.06 | -0.05 | 0.8x | 51 | 32% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-8.0% | -71.2% | 0.03 | -0.11 | 0.5x | 135 | 47% |
| 볼린저 밴드 돌파 n=37, k=2 |
-5.6% | -46.8% | -0.01 | -0.12 | 0.7x | 37 | 23% |
| Buy and hold | -18.7% | -89.9% | 0.03 | -0.21 | 0.2x | 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) — 34-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)