Trend-Following Backtester · Guide · backtest 한국어
equity · US
Live Nation Entertainment, Inc. backtest
10 trend-following strategies were compared on the full daily history of Live Nation Entertainment, Inc.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -89.9%).
Sharpe leader (same as main): Supertrend — CAGR 10.4%, MDD -50.8%, Sharpe 0.49, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.1%, MDD -82.8%, exposure 88%.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=2.9 |
10.4% | -50.8% | 0.49 | 0.20 | 7.7x | 149 | 56% |
| Donchian 채널 돌파 entryN=10, exitN=62 |
12.1% | -82.8% | 0.49 | 0.15 | 10.5x | 67 | 88% |
| EMA 크로스오버 fast=53, slow=155 |
9.4% | -67.0% | 0.46 | 0.14 | 6.4x | 27 | 66% |
| SMA 크로스오버 fast=31, slow=205 |
9.3% | -71.5% | 0.45 | 0.13 | 6.2x | 29 | 64% |
| ROC 모멘텀 n=149, threshold=-0.03 |
9.2% | -64.5% | 0.45 | 0.14 | 6.2x | 117 | 70% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
8.2% | -52.9% | 0.43 | 0.15 | 5.0x | 218 | 46% |
| Parabolic SAR step=0.005, maxStep=0.14 |
8.3% | -54.1% | 0.41 | 0.15 | 5.2x | 184 | 55% |
| MACD fast=18, slow=48, signal=18 |
3.5% | -60.0% | 0.26 | 0.06 | 2.0x | 236 | 53% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=28, mult=1 |
3.2% | -52.1% | 0.25 | 0.06 | 1.9x | 253 | 48% |
| ADX / DI 방향성 period=34, threshold=19 |
2.5% | -46.5% | 0.23 | 0.05 | 1.7x | 52 | 21% |
| Buy and hold | 14.4% | -89.9% | 0.52 | 0.16 | 16.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)