Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Lovisa Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of Lovisa Holdings Ltd.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 24.2%, MDD -33.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 23.6%, drawdown -82.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 24.2%, MDD -33.4%, Sharpe 0.86, 44% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 28.8%, MDD -51.6%, exposure 84%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 48.9%p (CAGR 24.2%, MDD -33.4%, exposure 44%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=15 |
24.2% | -33.4% | 0.86 | 0.72 | 12.6x | 92 | 44% |
| Donchian 채널 돌파 entryN=12, exitN=79 |
28.8% | -51.6% | 0.80 | 0.56 | 19.3x | 27 | 84% |
| Supertrend period=25, mult=4.9 |
25.4% | -51.2% | 0.78 | 0.50 | 14.2x | 27 | 66% |
| EMA 크로스오버 fast=36, slow=54 |
23.7% | -50.9% | 0.78 | 0.47 | 12.1x | 27 | 61% |
| SMA 크로스오버 fast=12, slow=120 |
21.4% | -53.1% | 0.73 | 0.40 | 9.7x | 25 | 58% |
| ROC 모멘텀 n=75, threshold=-0.03 |
21.2% | -54.5% | 0.70 | 0.39 | 9.5x | 103 | 64% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=13, mult=3.4 |
10.3% | -29.6% | 0.54 | 0.35 | 3.2x | 28 | 30% |
| 볼린저 밴드 돌파 n=58, k=2.7 |
9.9% | -31.5% | 0.54 | 0.32 | 3.0x | 29 | 30% |
| Parabolic SAR step=0.015, maxStep=0.22 |
8.5% | -48.3% | 0.40 | 0.18 | 2.6x | 197 | 56% |
| MACD fast=17, slow=25, signal=19 |
2.3% | -56.0% | 0.23 | 0.04 | 1.3x | 161 | 50% |
| Buy and hold | 23.6% | -82.4% | 0.66 | 0.29 | 12.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)