Trend-Following Backtester · Guide · backtest 한국어
equity · US
Latham Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Latham Group, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.3%, MDD -13.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.6%, drawdown -93.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.0%, MDD -13.1%, Sharpe 0.55, 4% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.9%, MDD -43.5%, exposure 33%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 31.6%p higher than buy and hold, while drawdown improves by 80.5%p (CAGR 6.3%, MDD -13.1%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=3.5 |
5.0% | -13.1% | 0.55 | 0.38 | 1.3x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=25, mult=4 |
6.3% | -13.1% | 0.53 | 0.48 | 1.4x | 4 | 6% |
| ADX / DI 방향성 period=18, threshold=30 |
7.4% | -23.4% | 0.49 | 0.32 | 1.5x | 4 | 6% |
| Donchian 채널 돌파 entryN=119, exitN=75 |
12.9% | -43.5% | 0.48 | 0.30 | 1.9x | 2 | 33% |
| EMA 크로스오버 fast=56, slow=175 |
6.8% | -43.5% | 0.35 | 0.16 | 1.4x | 4 | 33% |
| SMA 크로스오버 fast=53, slow=75 |
2.9% | -59.6% | 0.29 | 0.05 | 1.2x | 18 | 38% |
| ROC 모멘텀 n=150, threshold=0.06 |
2.0% | -58.5% | 0.24 | 0.03 | 1.1x | 50 | 30% |
| Supertrend period=10, mult=2.7 |
-6.2% | -62.9% | 0.14 | -0.10 | 0.7x | 40 | 50% |
| MACD fast=21, slow=60, signal=13 |
-7.9% | -85.7% | 0.13 | -0.09 | 0.6x | 60 | 50% |
| Parabolic SAR step=0.025, maxStep=0.28 |
-11.4% | -82.7% | -0.00 | -0.14 | 0.5x | 124 | 45% |
| Buy and hold | -26.6% | -93.5% | -0.03 | -0.28 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 34-day middle average