Trend-Following Backtester · Guide · backtest 한국어
equity · CH
LEM Holding SA backtest
10 trend-following strategies were compared on the full daily history of LEM Holding SA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.0%, MDD -48.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.5%, drawdown -90.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -50.2%, Sharpe 0.53, 58% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 10.0%, MDD -48.6%, exposure 53%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=59, slow=127 |
11.2% | -50.2% | 0.53 | 0.22 | 17.0x | 47 | 58% |
| Donchian 채널 돌파 entryN=56, exitN=53 |
11.2% | -59.0% | 0.52 | 0.19 | 16.6x | 55 | 57% |
| Keltner 채널 돌파 emaPeriod=145, atrPeriod=32, mult=2.2 |
10.0% | -48.6% | 0.52 | 0.21 | 12.6x | 77 | 53% |
| EMA 크로스오버 fast=21, slow=84 |
10.8% | -53.9% | 0.51 | 0.20 | 15.1x | 73 | 59% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
6.1% | -31.3% | 0.49 | 0.20 | 4.9x | 36 | 16% |
| Supertrend period=22, mult=5 |
8.2% | -65.2% | 0.42 | 0.13 | 8.1x | 87 | 58% |
| ADX / DI 방향성 period=22, threshold=13 |
6.4% | -71.3% | 0.39 | 0.09 | 5.2x | 293 | 42% |
| ROC 모멘텀 n=108, threshold=0.07 |
6.3% | -51.3% | 0.38 | 0.12 | 5.1x | 223 | 45% |
| MACD fast=24, slow=56, signal=19 |
1.6% | -83.9% | 0.20 | 0.02 | 1.5x | 244 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.9% | -76.3% | 0.18 | 0.01 | 1.3x | 385 | 53% |
| Buy and hold | 7.5% | -90.2% | 0.38 | 0.08 | 6.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 59-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 59-day average falls below the 127-day average