Trend-Following Backtester · Guide · backtest 한국어
equity · AT
Lenzing AG backtest
10 trend-following strategies were compared on the full daily history of Lenzing AG. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.4%, MDD -21.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.7%, drawdown -87.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.3%, MDD -28.0%, Sharpe 0.77, 20% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.3%, MDD -63.5%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 59.5%p (CAGR 6.4%, MDD -21.0%, exposure 16%).
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=59, k=3.3 |
10.3% | -28.0% | 0.77 | 0.37 | 13.5x | 34 | 20% |
| Donchian 채널 돌파 entryN=139, exitN=31 |
11.7% | -46.1% | 0.75 | 0.25 | 19.2x | 34 | 29% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=35, mult=3.7 |
10.8% | -44.3% | 0.70 | 0.24 | 15.2x | 52 | 29% |
| SMA 크로스오버 fast=27, slow=65 |
12.3% | -63.5% | 0.63 | 0.19 | 22.2x | 90 | 51% |
| EMA 크로스오버 fast=28, slow=36 |
10.7% | -84.0% | 0.56 | 0.13 | 15.0x | 92 | 51% |
| ADX / DI 방향성 period=34, threshold=20 |
6.4% | -21.0% | 0.55 | 0.30 | 5.2x | 54 | 16% |
| ROC 모멘텀 n=118, threshold=0.13 |
8.4% | -54.8% | 0.55 | 0.15 | 8.6x | 142 | 32% |
| Supertrend period=20, mult=2.8 |
8.2% | -66.7% | 0.45 | 0.12 | 8.2x | 173 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.8% | -86.6% | 0.32 | 0.06 | 3.5x | 184 | 51% |
| MACD fast=15, slow=41, signal=15 |
-1.7% | -85.2% | 0.04 | -0.02 | 0.6x | 340 | 49% |
| Buy and hold | 4.7% | -87.5% | 0.30 | 0.05 | 3.4x | 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 59-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 59-day middle average