Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lemonade, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lemonade, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.0%, MDD -26.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.9%, drawdown -94.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 28.8%, MDD -51.5%, Sharpe 0.74, 44% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.7%p higher than buy and hold, while drawdown improves by 42.7%p (CAGR 10.0%, MDD -26.5%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=78, slow=217 |
28.8% | -51.5% | 0.74 | 0.56 | 4.7x | 6 | 44% |
| ADX / DI 방향성 period=17, threshold=39 |
10.0% | -26.5% | 0.52 | 0.38 | 1.8x | 4 | 4% |
| Supertrend period=22, mult=3.9 |
14.0% | -75.4% | 0.51 | 0.19 | 2.2x | 24 | 39% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=1.9 |
12.1% | -59.2% | 0.47 | 0.20 | 2.0x | 28 | 29% |
| EMA 크로스오버 fast=56, slow=289 |
11.5% | -51.5% | 0.46 | 0.22 | 1.9x | 3 | 33% |
| 볼린저 밴드 돌파 n=39, k=1.5 |
10.2% | -61.7% | 0.44 | 0.16 | 1.8x | 40 | 30% |
| Parabolic SAR step=0.015, maxStep=0.36 |
6.0% | -73.1% | 0.39 | 0.08 | 1.4x | 104 | 46% |
| ROC 모멘텀 n=63, threshold=-0.02 |
2.7% | -84.8% | 0.34 | 0.03 | 1.2x | 84 | 46% |
| Donchian 채널 돌파 entryN=41, exitN=54 |
-2.4% | -84.4% | 0.28 | -0.03 | 0.9x | 16 | 56% |
| MACD fast=15, slow=31, signal=19 |
-4.5% | -88.9% | 0.24 | -0.05 | 0.8x | 74 | 52% |
| Buy and hold | -5.9% | -94.2% | 0.34 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 78-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 78-day average falls below the 217-day average