Trend-Following Backtester · Guide · backtest 한국어
equity · BR
LWSA S.A. backtest
10 trend-following strategies were compared on the full daily history of LWSA S.A.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.1%, MDD -20.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.0%, drawdown -92.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.3%, MDD -22.9%, Sharpe 1.08, 14% exposure.
CAGR reference leader: Supertrend — CAGR 35.0%, MDD -59.0%, exposure 38%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.3%p higher than buy and hold, while drawdown improves by 69.7%p (CAGR 9.1%, MDD -20.7%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=30, threshold=0.23 |
26.3% | -22.9% | 1.08 | 1.15 | 4.5x | 28 | 14% |
| Supertrend period=31, mult=4.5 |
35.0% | -59.0% | 0.98 | 0.59 | 7.0x | 12 | 38% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=20, mult=2.1 |
19.8% | -40.1% | 0.77 | 0.49 | 3.2x | 22 | 24% |
| SMA 크로스오버 fast=52, slow=68 |
19.5% | -47.3% | 0.69 | 0.41 | 3.2x | 28 | 41% |
| Donchian 채널 돌파 entryN=44, exitN=41 |
17.7% | -55.0% | 0.66 | 0.32 | 2.9x | 10 | 35% |
| 볼린저 밴드 돌파 n=32, k=2.2 |
14.9% | -41.9% | 0.63 | 0.36 | 2.5x | 30 | 23% |
| ADX / DI 방향성 period=17, threshold=36 |
9.1% | -20.7% | 0.62 | 0.44 | 1.8x | 8 | 6% |
| EMA 크로스오버 fast=11, slow=50 |
15.4% | -58.7% | 0.59 | 0.26 | 2.5x | 32 | 40% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-4.0% | -81.6% | 0.11 | -0.05 | 0.8x | 116 | 47% |
| MACD fast=6, slow=27, signal=7 |
-10.7% | -88.2% | -0.05 | -0.12 | 0.5x | 184 | 51% |
| Buy and hold | -5.0% | -92.6% | 0.23 | -0.05 | 0.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 30-day return is greater than 23%
- Sell — Sell when the 30-day return drops to 23% or below