Trend-Following Backtester · Guide · backtest 한국어
etf · AU
L1 Long Short Fund Ltd. backtest
10 trend-following strategies were compared on the full daily history of L1 Long Short Fund Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.8%, MDD -18.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.5%, drawdown -66.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.5%, MDD -26.1%, Sharpe 0.84, 82% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 40.4%p (CAGR 13.8%, MDD -18.4%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=17, exitN=81 |
17.5% | -26.1% | 0.84 | 0.67 | 3.8x | 17 | 82% |
| SMA 크로스오버 fast=28, slow=170 |
13.8% | -18.4% | 0.81 | 0.75 | 3.0x | 15 | 61% |
| EMA 크로스오버 fast=53, slow=84 |
13.6% | -22.7% | 0.78 | 0.60 | 2.9x | 13 | 63% |
| ROC 모멘텀 n=99, threshold=-0.09 |
12.1% | -26.8% | 0.67 | 0.45 | 2.6x | 37 | 77% |
| Parabolic SAR step=0.005, maxStep=0.2 |
10.3% | -24.8% | 0.64 | 0.41 | 2.3x | 63 | 56% |
| 볼린저 밴드 돌파 n=58, k=2.5 |
5.7% | -27.4% | 0.53 | 0.21 | 1.6x | 23 | 30% |
| Supertrend period=9, mult=3.2 |
7.5% | -37.1% | 0.51 | 0.20 | 1.8x | 43 | 57% |
| ADX / DI 방향성 period=37, threshold=21 |
4.7% | -12.7% | 0.51 | 0.37 | 1.5x | 16 | 13% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=28, mult=2 |
4.0% | -38.3% | 0.34 | 0.10 | 1.4x | 43 | 40% |
| MACD fast=12, slow=51, signal=18 |
4.1% | -29.9% | 0.32 | 0.14 | 1.4x | 91 | 49% |
| Buy and hold | 11.5% | -66.5% | 0.54 | 0.17 | 2.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 17 days
- Sell — Sell when price breaks below the lowest low of the last 81 days