Trend-Following Backtester · Guide · backtest 한국어
equity · US
United States Lime & Minerals, Inc. backtest
10 trend-following strategies were compared on the full daily history of United States Lime & Minerals, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.1%, drawdown -79.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.2%, MDD -63.1%, Sharpe 0.35, 56% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=25, slow=165 |
6.2% | -63.1% | 0.35 | 0.10 | 16.3x | 100 | 56% |
| Donchian 채널 돌파 entryN=87, exitN=77 |
5.8% | -86.2% | 0.34 | 0.07 | 13.5x | 80 | 58% |
| EMA 크로스오버 fast=55, slow=65 |
5.0% | -71.3% | 0.31 | 0.07 | 9.7x | 114 | 56% |
| 볼린저 밴드 돌파 n=53, k=2.9 |
3.6% | -65.2% | 0.27 | 0.05 | 5.1x | 110 | 22% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.7% | -95.4% | 0.16 | -0.01 | 0.7x | 329 | 50% |
| ADX / DI 방향성 period=33, threshold=18 |
-0.5% | -81.8% | 0.09 | -0.01 | 0.8x | 144 | 25% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=16, mult=3.5 |
-2.1% | -98.1% | 0.04 | -0.02 | 0.4x | 140 | 26% |
| Supertrend period=25, mult=5 |
-5.9% | -99.3% | 0.03 | -0.06 | 0.1x | 190 | 51% |
| MACD fast=34, slow=48, signal=38 |
-8.3% | -99.8% | -0.03 | -0.08 | 0.0x | 375 | 50% |
| ROC 모멘텀 n=148, threshold=0.01 |
-7.8% | -99.8% | -0.04 | -0.08 | 0.0x | 504 | 57% |
| Buy and hold | 11.1% | -79.5% | 0.46 | 0.14 | 129.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 25-day average price crosses above the 165-day average
- Sell — Sell (to cash) when the 25-day average falls below the 165-day average