Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Liechtensteinische Landesbank AG backtest
10 trend-following strategies were compared on the full daily history of Liechtensteinische Landesbank AG. 5 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.7%, MDD -28.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.6%, drawdown -79.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.7%, MDD -28.3%, Sharpe 0.52, 19% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.5%, MDD -42.2%, exposure 57%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 51.5%p (CAGR 4.7%, MDD -28.3%, exposure 19%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=10, mult=3.3 |
4.7% | -28.3% | 0.52 | 0.16 | 4.0x | 52 | 19% |
| EMA 크로스오버 fast=40, slow=112 |
6.5% | -42.2% | 0.47 | 0.15 | 6.7x | 47 | 57% |
| Donchian 채널 돌파 entryN=59, exitN=61 |
6.3% | -45.7% | 0.47 | 0.14 | 6.3x | 51 | 54% |
| SMA 크로스오버 fast=17, slow=116 |
6.1% | -44.5% | 0.45 | 0.14 | 6.0x | 79 | 55% |
| ADX / DI 방향성 period=21, threshold=50 |
1.0% | -5.8% | 0.44 | 0.16 | 1.3x | 8 | 2% |
| Supertrend period=28, mult=5 |
5.4% | -46.5% | 0.43 | 0.12 | 4.9x | 59 | 47% |
| 볼린저 밴드 돌파 n=50, k=1.7 |
3.0% | -46.4% | 0.30 | 0.06 | 2.5x | 138 | 36% |
| ROC 모멘텀 n=134, threshold=-0.09 |
3.2% | -65.2% | 0.26 | 0.05 | 2.6x | 165 | 80% |
| Parabolic SAR step=0.005, maxStep=0.06 |
2.6% | -54.1% | 0.24 | 0.05 | 2.1x | 211 | 54% |
| MACD fast=54, slow=60, signal=59 |
0.6% | -63.3% | 0.12 | 0.01 | 1.2x | 136 | 51% |
| Buy and hold | 3.6% | -79.8% | 0.27 | 0.05 | 2.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 42-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 42-day average