Trend-Following Backtester · Guide · backtest 한국어
equity · US
Leggett & Platt, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Leggett & Platt, Incorporated. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.1%, MDD -62.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -88.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.1%, MDD -62.5%, Sharpe 0.37, 45% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 26.1%p (CAGR 5.1%, MDD -62.5%, exposure 45%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=111, exitN=71 |
5.1% | -62.5% | 0.37 | 0.08 | 10.1x | 60 | 45% |
| SMA 크로스오버 fast=45, slow=132 |
5.1% | -70.6% | 0.34 | 0.07 | 10.1x | 96 | 58% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=3.4 |
3.4% | -53.6% | 0.30 | 0.06 | 4.8x | 148 | 32% |
| EMA 크로스오버 fast=51, slow=138 |
4.0% | -79.2% | 0.29 | 0.05 | 6.1x | 77 | 58% |
| ADX / DI 방향성 period=46, threshold=33 |
1.3% | -23.8% | 0.27 | 0.05 | 1.8x | 4 | 2% |
| Supertrend period=14, mult=4.9 |
2.7% | -68.9% | 0.23 | 0.04 | 3.5x | 183 | 55% |
| ROC 모멘텀 n=127, threshold=0.02 |
2.7% | -83.3% | 0.23 | 0.03 | 3.4x | 334 | 55% |
| 볼린저 밴드 돌파 n=52, k=1.2 |
2.0% | -76.0% | 0.20 | 0.03 | 2.5x | 300 | 45% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.1% | -90.8% | 0.06 | -0.01 | 0.6x | 392 | 55% |
| MACD fast=18, slow=49, signal=18 |
-1.6% | -89.6% | 0.04 | -0.02 | 0.5x | 522 | 51% |
| Buy and hold | 6.6% | -88.7% | 0.36 | 0.07 | 19.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 111 days
- Sell — Sell when price breaks below the lowest low of the last 71 days