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. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.6%, MDD -43.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.7%, drawdown -79.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.8%, MDD -5.3%, Sharpe 0.71, 2% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.6%, MDD -43.1%, exposure 57%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 74.5%p (CAGR 6.6%, MDD -43.1%, exposure 57%).
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=11, atrPeriod=21, mult=4 |
1.8% | -5.3% | 0.71 | 0.34 | 1.7x | 8 | 2% |
| EMA 크로스오버 fast=39, slow=111 |
6.6% | -43.1% | 0.48 | 0.15 | 6.7x | 49 | 57% |
| Donchian 채널 돌파 entryN=59, exitN=64 |
6.1% | -46.8% | 0.46 | 0.13 | 6.0x | 51 | 54% |
| Supertrend period=28, mult=5 |
5.4% | -46.5% | 0.44 | 0.12 | 4.9x | 59 | 47% |
| SMA 크로스오버 fast=12, slow=136 |
5.7% | -46.4% | 0.43 | 0.12 | 5.3x | 85 | 55% |
| ADX / DI 방향성 period=31, threshold=19 |
3.1% | -32.6% | 0.36 | 0.10 | 2.5x | 99 | 21% |
| 볼린저 밴드 돌파 n=48, k=1.8 |
3.0% | -46.3% | 0.30 | 0.07 | 2.4x | 137 | 35% |
| Parabolic SAR step=0.005, maxStep=0.12 |
2.2% | -57.0% | 0.22 | 0.04 | 1.9x | 223 | 54% |
| ROC 모멘텀 n=101, threshold=-0.04 |
0.7% | -69.7% | 0.12 | 0.01 | 1.2x | 299 | 70% |
| MACD fast=20, slow=62, signal=28 |
-2.0% | -84.6% | -0.04 | -0.02 | 0.5x | 235 | 50% |
| Buy and hold | 3.7% | -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 11-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average