Trend-Following Backtester · Guide · backtest 한국어
equity · US
LendingTree, Inc. backtest
10 trend-following strategies were compared on the full daily history of LendingTree, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 22.2%, MDD -33.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.5%, drawdown -97.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.2%, MDD -33.0%, Sharpe 0.83, 22% exposure.
CAGR reference leader: Supertrend — CAGR 24.4%, MDD -77.3%, exposure 57%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 64.6%p (CAGR 22.2%, MDD -33.0%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=19, mult=3.9 |
22.2% | -33.0% | 0.83 | 0.68 | 36.9x | 30 | 22% |
| Supertrend period=11, mult=2.6 |
24.4% | -77.3% | 0.72 | 0.32 | 50.7x | 126 | 57% |
| Donchian 채널 돌파 entryN=57, exitN=16 |
20.6% | -54.8% | 0.71 | 0.38 | 29.2x | 52 | 38% |
| ROC 모멘텀 n=74, threshold=0.15 |
19.1% | -58.1% | 0.66 | 0.33 | 23.1x | 150 | 39% |
| 볼린저 밴드 돌파 n=46, k=1.5 |
19.3% | -67.1% | 0.65 | 0.29 | 24.0x | 94 | 43% |
| Parabolic SAR step=0.015, maxStep=0.06 |
21.3% | -73.5% | 0.65 | 0.29 | 32.3x | 240 | 53% |
| SMA 크로스오버 fast=69, slow=117 |
17.9% | -80.3% | 0.60 | 0.22 | 19.4x | 32 | 53% |
| EMA 크로스오버 fast=15, slow=25 |
17.9% | -72.8% | 0.60 | 0.25 | 19.3x | 118 | 55% |
| ADX / DI 방향성 period=27, threshold=19 |
11.9% | -47.6% | 0.56 | 0.25 | 7.6x | 78 | 24% |
| MACD fast=11, slow=51, signal=19 |
12.6% | -86.9% | 0.48 | 0.14 | 8.4x | 216 | 53% |
| Buy and hold | 8.5% | -97.6% | 0.45 | 0.09 | 4.3x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 41-day average + 3.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 41-day average