Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Luzerner Kantonalbank AG backtest
10 trend-following strategies were compared on the full daily history of Luzerner Kantonalbank AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.0%, MDD -21.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.7%, drawdown -44.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.0%, MDD -21.0%, Sharpe 0.64, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 6.0%, MDD -21.0%, exposure 60%).
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=56, slow=183 |
6.0% | -21.0% | 0.64 | 0.28 | 4.4x | 33 | 60% |
| ADX / DI 방향성 period=27, threshold=28 |
2.1% | -5.0% | 0.59 | 0.42 | 1.7x | 20 | 7% |
| EMA 크로스오버 fast=49, slow=159 |
5.5% | -29.0% | 0.59 | 0.19 | 4.0x | 31 | 64% |
| Donchian 채널 돌파 entryN=94, exitN=85 |
4.8% | -30.5% | 0.53 | 0.16 | 3.3x | 29 | 62% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.08 |
5.7% | -46.9% | 0.47 | 0.12 | 4.1x | 7 | 100% |
| Supertrend period=15, mult=4.9 |
4.2% | -39.0% | 0.45 | 0.11 | 2.9x | 37 | 67% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=30, mult=3.3 |
1.9% | -19.2% | 0.37 | 0.10 | 1.6x | 35 | 18% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
1.4% | -22.3% | 0.24 | 0.06 | 1.4x | 58 | 24% |
| MACD fast=40, slow=60, signal=40 |
0.5% | -55.4% | 0.10 | 0.01 | 1.1x | 137 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-1.6% | -66.0% | -0.11 | -0.02 | 0.7x | 203 | 56% |
| Buy and hold | 5.7% | -44.5% | 0.47 | 0.13 | 4.1x | 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 56-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 56-day average falls below the 183-day average