Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ladder Capital Corp backtest
10 trend-following strategies were compared on the full daily history of Ladder Capital Corp. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.7%, MDD -16.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR -4.5%, drawdown -83.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.7%, MDD -16.5%, Sharpe 0.25, 8% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 67.0%p (CAGR 1.7%, MDD -16.5%, exposure 8%).
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=59, k=3.4 |
1.7% | -16.5% | 0.25 | 0.10 | 1.2x | 8 | 8% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=43, mult=3.1 |
0.9% | -23.6% | 0.15 | 0.04 | 1.1x | 20 | 13% |
| MACD fast=12, slow=22, signal=15 |
-3.1% | -69.6% | -0.00 | -0.05 | 0.7x | 210 | 50% |
| ADX / DI 방향성 period=11, threshold=35 |
-1.3% | -21.3% | -0.08 | -0.06 | 0.8x | 42 | 7% |
| ROC 모멘텀 n=144, threshold=0.05 |
-2.5% | -52.4% | -0.10 | -0.05 | 0.7x | 138 | 34% |
| Donchian 채널 돌파 entryN=11, exitN=61 |
-6.1% | -58.1% | -0.13 | -0.10 | 0.5x | 48 | 82% |
| Supertrend period=21, mult=2.8 |
-9.1% | -83.1% | -0.20 | -0.11 | 0.3x | 100 | 54% |
| SMA 크로스오버 fast=11, slow=190 |
-5.3% | -52.2% | -0.24 | -0.10 | 0.5x | 44 | 48% |
| EMA 크로스오버 fast=49, slow=126 |
-5.4% | -62.9% | -0.24 | -0.09 | 0.5x | 28 | 53% |
| Parabolic SAR step=0.01, maxStep=0.04 |
-7.3% | -63.0% | -0.25 | -0.12 | 0.4x | 128 | 53% |
| Buy and hold | -4.5% | -83.4% | 0.10 | -0.05 | 0.6x | 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 59-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 59-day middle average