Trend-Following Backtester · Guide · backtest 한국어
equity · US
Leidos Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Leidos Holdings, Inc.. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.9%, MDD -20.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.9%, drawdown -51.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.9%, MDD -20.1%, Sharpe 0.42, 20% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.0%p lower than buy and hold, while drawdown improves by 31.6%p (CAGR 3.9%, MDD -20.1%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=13, mult=3.4 |
3.9% | -20.1% | 0.42 | 0.19 | 2.1x | 42 | 20% |
| ROC 모멘텀 n=2, threshold=0.13 |
0.5% | -1.2% | 0.27 | 0.38 | 1.1x | 4 | 0% |
| Supertrend period=11, mult=3.3 |
2.4% | -64.2% | 0.22 | 0.04 | 1.6x | 115 | 53% |
| SMA 크로스오버 fast=40, slow=174 |
1.0% | -52.9% | 0.15 | 0.02 | 1.2x | 46 | 55% |
| Donchian 채널 돌파 entryN=69, exitN=63 |
0.5% | -58.5% | 0.12 | 0.01 | 1.1x | 38 | 53% |
| EMA 크로스오버 fast=42, slow=192 |
-0.2% | -50.8% | 0.11 | -0.00 | 1.0x | 36 | 57% |
| ADX / DI 방향성 period=35, threshold=22 |
-0.0% | -31.0% | 0.04 | -0.00 | 1.0x | 34 | 12% |
| 볼린저 밴드 돌파 n=46, k=2.1 |
-0.8% | -60.7% | 0.00 | -0.01 | 0.9x | 88 | 29% |
| MACD fast=14, slow=47, signal=9 |
-3.1% | -65.3% | -0.05 | -0.05 | 0.5x | 297 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-3.3% | -74.1% | -0.06 | -0.04 | 0.5x | 175 | 54% |
| Buy and hold | 4.9% | -51.7% | 0.31 | 0.10 | 2.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 34-day average + 3.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 34-day average