Trend-Following Backtester · Guide · backtest 한국어
equity · GR
LAMDA Development S.A. backtest
10 trend-following strategies were compared on the full daily history of LAMDA Development S.A.. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.5%, MDD -72.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR 10.0%, drawdown -96.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.5%, MDD -72.9%, Sharpe 0.47, 33% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 23.9%p (CAGR 21.5%, MDD -72.9%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=90, exitN=36 |
21.5% | -72.9% | 0.47 | 0.30 | 417.0x | 44 | 33% |
| SMA 크로스오버 fast=44, slow=89 |
20.5% | -77.4% | 0.47 | 0.27 | 321.9x | 85 | 46% |
| ROC 모멘텀 n=82, threshold=0.13 |
18.8% | -72.9% | 0.44 | 0.26 | 205.8x | 222 | 28% |
| EMA 크로스오버 fast=41, slow=42 |
18.1% | -72.9% | 0.44 | 0.25 | 171.1x | 103 | 45% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=2.7 |
18.0% | -72.9% | 0.42 | 0.25 | 167.5x | 94 | 20% |
| 볼린저 밴드 돌파 n=44, k=1.7 |
16.0% | -72.9% | 0.40 | 0.22 | 99.1x | 164 | 31% |
| ADX / DI 방향성 period=37, threshold=13 |
13.6% | -89.7% | 0.38 | 0.15 | 51.9x | 172 | 27% |
| Parabolic SAR step=0.01, maxStep=0.04 |
9.9% | -93.5% | 0.35 | 0.11 | 18.4x | 277 | 48% |
| Supertrend period=12, mult=4.6 |
7.2% | -93.0% | 0.30 | 0.08 | 8.6x | 110 | 47% |
| MACD fast=17, slow=53, signal=13 |
2.0% | -96.9% | 0.23 | 0.02 | 1.8x | 379 | 52% |
| Buy and hold | 10.0% | -96.8% | 0.38 | 0.10 | 19.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 90 days
- Sell — Sell when price breaks below the lowest low of the last 36 days