Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Logitech International S.A. backtest
10 trend-following strategies were compared on the full daily history of Logitech International S.A.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.7%, MDD -19.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.3%, drawdown -99.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.7%, MDD -19.3%, Sharpe 0.64, 6% exposure.
CAGR reference leader: Supertrend — CAGR 14.3%, MDD -62.0%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 79.8%p (CAGR 7.7%, MDD -19.3%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=31 |
7.7% | -19.3% | 0.64 | 0.40 | 10.4x | 30 | 6% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
11.4% | -37.6% | 0.63 | 0.30 | 29.7x | 66 | 26% |
| Supertrend period=29, mult=4.6 |
14.3% | -62.0% | 0.60 | 0.23 | 67.1x | 108 | 52% |
| Donchian 채널 돌파 entryN=40, exitN=43 |
14.0% | -59.8% | 0.60 | 0.23 | 61.8x | 83 | 55% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=19, mult=2.5 |
11.5% | -53.2% | 0.58 | 0.22 | 30.7x | 130 | 35% |
| SMA 크로스오버 fast=39, slow=60 |
13.8% | -67.5% | 0.58 | 0.20 | 57.9x | 142 | 56% |
| EMA 크로스오버 fast=15, slow=50 |
12.5% | -72.2% | 0.55 | 0.17 | 40.4x | 149 | 56% |
| MACD fast=28, slow=72, signal=17 |
9.7% | -66.2% | 0.45 | 0.15 | 18.3x | 263 | 53% |
| ROC 모멘텀 n=53, threshold=-0.01 |
9.3% | -69.2% | 0.45 | 0.13 | 16.3x | 397 | 59% |
| Parabolic SAR step=0.005, maxStep=0.04 |
8.3% | -65.6% | 0.42 | 0.13 | 12.4x | 217 | 54% |
| Buy and hold | 2.3% | -99.1% | 0.43 | 0.02 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)