Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Lumo Homes Plc backtest
10 trend-following strategies were compared on the full daily history of Lumo Homes Plc. 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 3.1%, MDD -10.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.1%, drawdown -68.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.7%, MDD -14.0%, Sharpe 0.73, 24% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.8%p higher than buy and hold, while drawdown improves by 54.1%p (CAGR 3.1%, MDD -10.7%, exposure 8%).
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=3.5 |
7.7% | -14.0% | 0.73 | 0.55 | 1.8x | 12 | 24% |
| ADX / DI 방향성 period=30, threshold=18 |
6.8% | -26.8% | 0.59 | 0.25 | 1.7x | 32 | 25% |
| Donchian 채널 돌파 entryN=77, exitN=29 |
5.9% | -29.1% | 0.50 | 0.20 | 1.6x | 14 | 27% |
| SMA 크로스오버 fast=52, slow=149 |
6.8% | -28.1% | 0.47 | 0.24 | 1.7x | 10 | 42% |
| 볼린저 밴드 돌파 n=30, k=2.9 |
3.1% | -10.7% | 0.45 | 0.29 | 1.3x | 10 | 8% |
| EMA 크로스오버 fast=11, slow=145 |
6.2% | -36.7% | 0.43 | 0.17 | 1.6x | 16 | 47% |
| ROC 모멘텀 n=124, threshold=0.05 |
4.0% | -32.3% | 0.32 | 0.12 | 1.4x | 50 | 41% |
| Parabolic SAR step=0.01, maxStep=0.3 |
2.1% | -32.3% | 0.20 | 0.06 | 1.2x | 107 | 52% |
| Supertrend period=26, mult=3.3 |
1.4% | -57.4% | 0.17 | 0.02 | 1.1x | 39 | 48% |
| MACD fast=11, slow=26, signal=17 |
0.1% | -40.7% | 0.11 | 0.00 | 1.0x | 121 | 51% |
| Buy and hold | -1.1% | -68.1% | 0.11 | -0.02 | 0.9x | 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 + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average