Trend-Following Backtester · Guide · backtest 한국어
equity · US
LiveRamp Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of LiveRamp Holdings, Inc.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.8%, MDD -60.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.8%, drawdown -85.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 5.9%, MDD -35.8%, Sharpe 0.47, 13% exposure.
CAGR reference leader: Supertrend — CAGR 7.8%, MDD -60.1%, exposure 54%.
Return/drawdown alternative: Supertrend — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 49.3%p (CAGR 7.8%, MDD -60.1%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=64, k=3.5 |
5.9% | -35.8% | 0.47 | 0.17 | 11.6x | 33 | 13% |
| Supertrend period=12, mult=3.2 |
7.8% | -60.1% | 0.40 | 0.13 | 24.9x | 237 | 54% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
6.8% | -84.6% | 0.38 | 0.08 | 16.8x | 37 | 100% |
| SMA 크로스오버 fast=15, slow=25 |
6.5% | -71.1% | 0.36 | 0.09 | 14.8x | 443 | 55% |
| Donchian 채널 돌파 entryN=16, exitN=76 |
5.8% | -87.9% | 0.34 | 0.07 | 10.9x | 123 | 78% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=15, mult=2 |
3.5% | -69.2% | 0.26 | 0.05 | 4.4x | 231 | 36% |
| Parabolic SAR step=0.01, maxStep=0.28 |
3.1% | -72.6% | 0.26 | 0.04 | 3.7x | 485 | 54% |
| EMA 크로스오버 fast=10, slow=93 |
2.6% | -83.6% | 0.24 | 0.03 | 3.0x | 217 | 58% |
| MACD fast=18, slow=36, signal=21 |
2.3% | -77.5% | 0.23 | 0.03 | 2.6x | 468 | 52% |
| ADX / DI 방향성 period=28, threshold=29 |
1.8% | -35.5% | 0.21 | 0.05 | 2.1x | 63 | 10% |
| Buy and hold | 7.8% | -85.1% | 0.40 | 0.09 | 24.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 64-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 64-day middle average