Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Lemon Tree Hotels Ltd. backtest
10 trend-following strategies were compared on the full daily history of Lemon Tree Hotels Ltd.. 8 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -11.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.7%, drawdown -83.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.3%, MDD -0.5%, Sharpe 0.84, 0% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.0%, MDD -39.1%, exposure 59%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 83.1%p (CAGR 7.0%, MDD -11.2%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=39 |
3.3% | -0.5% | 0.84 | 6.69 | 1.3x | 2 | 0% |
| MACD fast=24, slow=49, signal=22 |
14.0% | -45.8% | 0.60 | 0.31 | 3.0x | 70 | 48% |
| 볼린저 밴드 돌파 n=11, k=2.7 |
7.0% | -11.2% | 0.58 | 0.63 | 1.8x | 20 | 7% |
| SMA 크로스오버 fast=62, slow=184 |
14.0% | -39.1% | 0.58 | 0.36 | 3.0x | 8 | 59% |
| Donchian 채널 돌파 entryN=34, exitN=79 |
12.2% | -44.2% | 0.51 | 0.28 | 2.6x | 13 | 73% |
| EMA 크로스오버 fast=23, slow=73 |
11.2% | -38.2% | 0.50 | 0.29 | 2.4x | 24 | 57% |
| ROC 모멘텀 n=67, threshold=-0.09 |
8.9% | -51.7% | 0.43 | 0.17 | 2.0x | 74 | 73% |
| Supertrend period=29, mult=3.7 |
7.7% | -32.3% | 0.41 | 0.24 | 1.9x | 34 | 51% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=2.3 |
5.0% | -32.0% | 0.39 | 0.16 | 1.5x | 28 | 11% |
| Parabolic SAR step=0.005, maxStep=0.2 |
2.7% | -62.2% | 0.24 | 0.04 | 1.3x | 62 | 47% |
| Buy and hold | 4.7% | -83.6% | 0.32 | 0.06 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 39
- Sell — Sell when direction flips or the trend weakens (ADX < 39)