Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lennox International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lennox International, Inc.. 2 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 12.1%, MDD -46.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.8%, drawdown -64.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.1%, MDD -46.7%, Sharpe 0.56, 75% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 12.2%, MDD -57.8%, exposure 89%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 12.1%, MDD -46.7%, exposure 75%).
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=25, exitN=53 |
12.1% | -46.7% | 0.56 | 0.26 | 22.1x | 62 | 75% |
| ROC 모멘텀 n=62, threshold=-0.15 |
12.2% | -57.8% | 0.53 | 0.21 | 22.6x | 112 | 89% |
| Supertrend period=12, mult=4.4 |
7.2% | -55.0% | 0.41 | 0.13 | 6.6x | 90 | 60% |
| ADX / DI 방향성 period=23, threshold=28 |
3.6% | -29.0% | 0.41 | 0.13 | 2.6x | 56 | 11% |
| SMA 크로스오버 fast=51, slow=77 |
7.1% | -59.3% | 0.41 | 0.12 | 6.4x | 80 | 64% |
| EMA 크로스오버 fast=21, slow=154 |
6.8% | -51.0% | 0.39 | 0.13 | 5.9x | 52 | 69% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=3.7 |
3.0% | -44.1% | 0.26 | 0.07 | 2.2x | 74 | 31% |
| 볼린저 밴드 돌파 n=44, k=3.2 |
2.1% | -29.4% | 0.25 | 0.07 | 1.7x | 24 | 9% |
| MACD fast=30, slow=34, signal=30 |
1.8% | -69.4% | 0.19 | 0.03 | 1.6x | 240 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-2.1% | -67.9% | 0.03 | -0.03 | 0.6x | 252 | 56% |
| Buy and hold | 11.8% | -64.2% | 0.49 | 0.18 | 20.3x | 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 25 days
- Sell — Sell when price breaks below the lowest low of the last 53 days