Trend-Following Backtester · Guide · backtest 한국어
equity · DE
LPKF Laser & Electronics SE backtest
10 trend-following strategies were compared on the full daily history of LPKF Laser & Electronics SE. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.4%, MDD -60.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.7%, drawdown -98.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.2%, MDD -66.6%, Sharpe 0.51, 34% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 10.4%, MDD -60.2%, exposure 36%).
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=55, atrPeriod=10, mult=2.1 |
12.2% | -66.6% | 0.51 | 0.18 | 24.6x | 112 | 34% |
| ADX / DI 방향성 period=44, threshold=13 |
11.8% | -73.0% | 0.49 | 0.16 | 22.0x | 146 | 31% |
| 볼린저 밴드 돌파 n=52, k=1.4 |
10.4% | -60.2% | 0.46 | 0.17 | 15.4x | 124 | 36% |
| EMA 크로스오버 fast=46, slow=71 |
10.3% | -80.1% | 0.45 | 0.13 | 15.1x | 60 | 47% |
| SMA 크로스오버 fast=44, slow=179 |
9.7% | -73.6% | 0.43 | 0.13 | 13.2x | 41 | 46% |
| Donchian 채널 돌파 entryN=15, exitN=70 |
9.0% | -88.0% | 0.41 | 0.10 | 11.0x | 83 | 74% |
| Supertrend period=14, mult=3.9 |
8.6% | -69.7% | 0.40 | 0.12 | 10.0x | 126 | 48% |
| ROC 모멘텀 n=126, threshold=-0.01 |
6.2% | -85.6% | 0.35 | 0.07 | 5.3x | 179 | 48% |
| MACD fast=25, slow=60, signal=19 |
5.5% | -82.0% | 0.32 | 0.07 | 4.4x | 250 | 51% |
| Parabolic SAR step=0.035, maxStep=0.34 |
5.2% | -83.2% | 0.31 | 0.06 | 4.1x | 744 | 49% |
| Buy and hold | 0.7% | -98.1% | 0.31 | 0.01 | 1.2x | 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 55-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average