Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lear Corporation backtest
10 trend-following strategies were compared on the full daily history of Lear Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.6%, drawdown -65.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.0%, MDD -52.8%, Sharpe 0.43, 57% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=40, slow=164 |
7.0% | -52.8% | 0.43 | 0.13 | 3.1x | 25 | 57% |
| ROC 모멘텀 n=149, threshold=0.03 |
5.6% | -52.2% | 0.38 | 0.11 | 2.5x | 131 | 52% |
| SMA 크로스오버 fast=19, slow=211 |
5.0% | -58.3% | 0.34 | 0.09 | 2.3x | 35 | 56% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=15, mult=3.9 |
0.3% | -2.6% | 0.28 | 0.10 | 1.0x | 2 | 1% |
| Donchian 채널 돌파 entryN=88, exitN=34 |
2.3% | -60.6% | 0.22 | 0.04 | 1.5x | 35 | 39% |
| ADX / DI 방향성 period=37, threshold=35 |
0.4% | -12.2% | 0.15 | 0.03 | 1.1x | 2 | 1% |
| Supertrend period=24, mult=4 |
1.0% | -63.9% | 0.15 | 0.02 | 1.2x | 79 | 58% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
0.1% | -10.2% | 0.05 | 0.01 | 1.0x | 6 | 3% |
| MACD fast=15, slow=43, signal=14 |
-2.3% | -68.7% | 0.00 | -0.03 | 0.7x | 223 | 49% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.0% | -68.6% | -0.03 | -0.04 | 0.6x | 153 | 55% |
| Buy and hold | 9.6% | -65.9% | 0.45 | 0.15 | 4.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 40-day EMA crosses above the 164-day EMA
- Sell — Sell when the 40-day EMA falls below the 164-day EMA