Trend-Following Backtester · Guide · backtest 한국어
equity · FR
LVMH Moet Hennessy Louis Vuitton SE backtest
10 trend-following strategies were compared on the full daily history of LVMH Moet Hennessy Louis Vuitton SE. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.7%, MDD -51.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -70.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -51.2%, Sharpe 0.37, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 19.4%p (CAGR 5.7%, MDD -51.2%, 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=61, slow=233 |
5.7% | -51.2% | 0.37 | 0.11 | 4.3x | 36 | 60% |
| EMA 크로스오버 fast=20, slow=105 |
4.6% | -60.5% | 0.33 | 0.08 | 3.3x | 80 | 59% |
| Donchian 채널 돌파 entryN=97, exitN=61 |
3.9% | -58.8% | 0.31 | 0.07 | 2.8x | 46 | 51% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.9% | -8.5% | 0.29 | 0.11 | 1.3x | 8 | 3% |
| Supertrend period=23, mult=4.3 |
2.6% | -54.5% | 0.22 | 0.05 | 2.0x | 106 | 57% |
| ROC 모멘텀 n=116, threshold=0.09 |
0.6% | -49.0% | 0.11 | 0.01 | 1.2x | 228 | 39% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=27, mult=4 |
0.4% | -23.8% | 0.10 | 0.02 | 1.1x | 36 | 9% |
| ADX / DI 방향성 period=12, threshold=38 |
0.2% | -23.7% | 0.06 | 0.01 | 1.1x | 70 | 7% |
| MACD fast=16, slow=56, signal=17 |
-4.1% | -78.7% | -0.11 | -0.05 | 0.3x | 328 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-6.1% | -83.2% | -0.21 | -0.07 | 0.2x | 258 | 54% |
| Buy and hold | 6.5% | -70.6% | 0.35 | 0.09 | 5.3x | 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 61-day average price crosses above the 233-day average
- Sell — Sell (to cash) when the 61-day average falls below the 233-day average