Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Luzhou Laojiao Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Luzhou Laojiao Company Limited Class A. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 15.9%, MDD -53.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 16.5%, drawdown -78.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 22.6%, MDD -65.3%, Sharpe 0.78, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 13.3%p (CAGR 15.9%, MDD -53.3%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=30, slow=57 |
22.6% | -65.3% | 0.78 | 0.35 | 721.2x | 82 | 54% |
| Supertrend period=11, mult=3.1 |
19.7% | -69.0% | 0.73 | 0.29 | 334.2x | 178 | 51% |
| SMA 크로스오버 fast=28, slow=108 |
18.7% | -71.9% | 0.70 | 0.26 | 255.8x | 74 | 54% |
| Donchian 채널 돌파 entryN=37, exitN=47 |
18.0% | -71.8% | 0.66 | 0.25 | 210.7x | 79 | 63% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=1 |
15.9% | -53.3% | 0.64 | 0.30 | 117.8x | 274 | 43% |
| ROC 모멘텀 n=58, threshold=0.05 |
15.9% | -70.6% | 0.63 | 0.22 | 116.1x | 326 | 44% |
| ADX / DI 방향성 period=32, threshold=12 |
15.3% | -70.7% | 0.62 | 0.22 | 100.6x | 258 | 47% |
| 볼린저 밴드 돌파 n=21, k=1.3 |
13.8% | -60.0% | 0.59 | 0.23 | 65.4x | 378 | 40% |
| Parabolic SAR step=0.005, maxStep=0.12 |
14.5% | -81.2% | 0.59 | 0.18 | 80.2x | 250 | 49% |
| MACD fast=17, slow=23, signal=18 |
13.0% | -58.3% | 0.54 | 0.22 | 51.2x | 396 | 51% |
| Buy and hold | 16.5% | -78.7% | 0.57 | 0.21 | 140.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 30-day EMA crosses above the 57-day EMA
- Sell — Sell when the 30-day EMA falls below the 57-day EMA