Trend-Following Backtester · Guide · backtest 한국어
equity · US
LTC Properties, Inc. backtest
10 trend-following strategies were compared on the full daily history of LTC Properties, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -39.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.5%, drawdown -84.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -39.9%, Sharpe 0.38, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 5.6%, MDD -39.9%, exposure 58%).
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=43, slow=195 |
5.6% | -39.9% | 0.38 | 0.14 | 6.3x | 49 | 58% |
| 볼린저 밴드 돌파 n=31, k=3.3 |
1.6% | -23.7% | 0.28 | 0.07 | 1.7x | 24 | 5% |
| ROC 모멘텀 n=134, threshold=-0.11 |
3.4% | -60.4% | 0.26 | 0.06 | 3.1x | 159 | 81% |
| EMA 크로스오버 fast=55, slow=93 |
3.2% | -54.8% | 0.26 | 0.06 | 2.9x | 73 | 58% |
| Donchian 채널 돌파 entryN=81, exitN=71 |
2.4% | -55.0% | 0.22 | 0.04 | 2.3x | 55 | 56% |
| ADX / DI 방향성 period=34, threshold=27 |
0.8% | -24.3% | 0.19 | 0.03 | 1.3x | 18 | 3% |
| Supertrend period=27, mult=5 |
0.7% | -70.6% | 0.14 | 0.01 | 1.3x | 89 | 57% |
| Keltner 채널 돌파 emaPeriod=74, atrPeriod=15, mult=3.9 |
-0.1% | -50.7% | 0.05 | -0.00 | 1.0x | 67 | 22% |
| MACD fast=40, slow=74, signal=31 |
-2.6% | -69.4% | -0.01 | -0.04 | 0.4x | 225 | 53% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-2.6% | -77.2% | -0.03 | -0.03 | 0.4x | 273 | 54% |
| Buy and hold | 4.5% | -84.7% | 0.30 | 0.05 | 4.4x | 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 43-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 43-day average falls below the 195-day average