Trend-Following Backtester · Guide · backtest 한국어
equity · US
LegalZoom.com, Inc. backtest
10 trend-following strategies were compared on the full daily history of LegalZoom.com, Inc.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.7%, MDD -25.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.6%, drawdown -86.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.7%, MDD -25.6%, Sharpe 0.28, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.7%, MDD -55.8%, exposure 36%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 30.3%p higher than buy and hold, while drawdown improves by 60.6%p (CAGR 3.7%, MDD -25.6%, exposure 20%).
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=53, exitN=19 |
3.7% | -25.6% | 0.28 | 0.14 | 1.2x | 11 | 20% |
| SMA 크로스오버 fast=57, slow=111 |
3.7% | -55.8% | 0.28 | 0.07 | 1.2x | 9 | 36% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
1.7% | -32.9% | 0.19 | 0.05 | 1.1x | 17 | 25% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=19, mult=2.9 |
-0.2% | -36.5% | 0.09 | -0.01 | 1.0x | 13 | 18% |
| ROC 모멘텀 n=67, threshold=0.06 |
-2.1% | -48.8% | 0.08 | -0.04 | 0.9x | 39 | 30% |
| EMA 크로스오버 fast=35, slow=52 |
-3.5% | -57.9% | 0.06 | -0.06 | 0.8x | 13 | 35% |
| Supertrend period=13, mult=4.4 |
-7.7% | -59.7% | -0.06 | -0.13 | 0.7x | 17 | 47% |
| ADX / DI 방향성 period=28, threshold=20 |
-4.3% | -43.1% | -0.16 | -0.10 | 0.8x | 14 | 16% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-17.6% | -73.0% | -0.34 | -0.24 | 0.4x | 173 | 47% |
| MACD fast=16, slow=43, signal=17 |
-23.6% | -81.3% | -0.44 | -0.29 | 0.3x | 53 | 53% |
| Buy and hold | -26.6% | -86.2% | -0.24 | -0.31 | 0.2x | 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 53 days
- Sell — Sell when price breaks below the lowest low of the last 19 days