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 7.6%, MDD -22.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.2%, drawdown -99.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.6%, MDD -22.5%, Sharpe 0.63, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.6%, MDD -74.3%, exposure 76%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 76.5%p (CAGR 7.6%, MDD -22.5%, 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=23, threshold=32 |
7.6% | -22.5% | 0.63 | 0.34 | 9.9x | 30 | 6% |
| Donchian 채널 돌파 entryN=21, exitN=60 |
15.6% | -74.3% | 0.60 | 0.21 | 94.0x | 87 | 76% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
10.8% | -37.6% | 0.60 | 0.29 | 24.7x | 68 | 27% |
| Supertrend period=29, mult=4.7 |
14.0% | -62.0% | 0.59 | 0.23 | 61.3x | 108 | 53% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=21, mult=2.6 |
11.3% | -49.0% | 0.57 | 0.23 | 28.4x | 120 | 36% |
| EMA 크로스오버 fast=18, slow=66 |
12.9% | -68.4% | 0.56 | 0.19 | 45.2x | 117 | 56% |
| SMA 크로스오버 fast=41, slow=87 |
11.0% | -61.6% | 0.50 | 0.18 | 26.0x | 93 | 56% |
| MACD fast=19, slow=72, signal=24 |
9.7% | -65.3% | 0.45 | 0.15 | 18.2x | 261 | 53% |
| ROC 모멘텀 n=80, threshold=0.03 |
8.1% | -65.4% | 0.42 | 0.12 | 11.5x | 335 | 52% |
| Parabolic SAR step=0.005, maxStep=0.3 |
6.2% | -56.0% | 0.35 | 0.11 | 6.7x | 257 | 54% |
| Buy and hold | 2.2% | -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, 23-day) is ≥ 32
- Sell — Sell when direction flips or the trend weakens (ADX < 32)