Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Lightspeed Commerce Inc backtest
10 trend-following strategies were compared on the full daily history of Lightspeed Commerce Inc. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.2%, MDD -12.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.9%, drawdown -93.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.0%, MDD -33.9%, Sharpe 0.65, 20% exposure.
CAGR reference leader: Supertrend — CAGR 21.1%, MDD -69.0%, exposure 47%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 59.1%p (CAGR 4.2%, MDD -12.1%, exposure 2%).
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=47, threshold=0.22 |
16.0% | -33.9% | 0.65 | 0.47 | 3.0x | 70 | 20% |
| Supertrend period=18, mult=3.5 |
21.1% | -69.0% | 0.65 | 0.31 | 4.1x | 35 | 47% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
4.2% | -12.1% | 0.49 | 0.35 | 1.4x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=27, mult=3.8 |
6.0% | -14.1% | 0.49 | 0.43 | 1.5x | 10 | 7% |
| ADX / DI 방향성 period=27, threshold=24 |
7.8% | -37.5% | 0.49 | 0.21 | 1.7x | 12 | 9% |
| Parabolic SAR step=0.005, maxStep=0.32 |
11.3% | -64.8% | 0.46 | 0.17 | 2.2x | 64 | 50% |
| SMA 크로스오버 fast=32, slow=45 |
10.2% | -69.7% | 0.44 | 0.15 | 2.1x | 43 | 50% |
| EMA 크로스오버 fast=13, slow=52 |
9.4% | -70.8% | 0.42 | 0.13 | 1.9x | 37 | 45% |
| Donchian 채널 돌파 entryN=112, exitN=54 |
7.1% | -59.3% | 0.39 | 0.12 | 1.7x | 6 | 23% |
| MACD fast=18, slow=35, signal=23 |
4.6% | -78.3% | 0.32 | 0.06 | 1.4x | 64 | 52% |
| Buy and hold | -3.9% | -93.0% | 0.28 | -0.04 | 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 47-day return is greater than 22%
- Sell — Sell when the 47-day return drops to 22% or below