Trend-Following Backtester · Guide · backtest 한국어
equity · IN
LMW Limited backtest
10 trend-following strategies were compared on the full daily history of LMW Limited. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 35.1%, MDD -38.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 36.2%, drawdown -89.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 10.8%, MDD -40.5%, Sharpe 0.75, 24% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 40.1%, MDD -57.2%, exposure 60%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 25.5%p lower than buy and hold, while drawdown improves by 48.7%p (CAGR 35.1%, MDD -38.6%, exposure 50%).
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=25, threshold=29 |
10.8% | -40.5% | 0.75 | 0.27 | 11.7x | 64 | 24% |
| 볼린저 밴드 돌파 n=56, k=2.9 |
13.7% | -59.4% | 0.74 | 0.23 | 21.9x | 58 | 33% |
| Supertrend period=18, mult=2.1 |
15.6% | -58.9% | 0.70 | 0.26 | 32.6x | 232 | 51% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=29, mult=1.9 |
10.0% | -44.4% | 0.61 | 0.23 | 9.9x | 160 | 26% |
| MACD fast=5, slow=40, signal=6 |
9.7% | -64.6% | 0.49 | 0.15 | 9.3x | 655 | 48% |
| Parabolic SAR step=0.025, maxStep=0.16 |
7.5% | -73.6% | 0.41 | 0.10 | 5.7x | 561 | 51% |
| Donchian 채널 돌파 entryN=36, exitN=41 |
40.1% | -57.2% | 0.35 | 0.70 | 3386.1x | 51 | 60% |
| EMA 크로스오버 fast=17, slow=114 |
40.0% | -42.9% | 0.35 | 0.93 | 3281.8x | 63 | 62% |
| SMA 크로스오버 fast=35, slow=112 |
37.5% | -47.6% | 0.34 | 0.79 | 2139.1x | 55 | 60% |
| ROC 모멘텀 n=81, threshold=0.05 |
35.1% | -38.6% | 0.33 | 0.91 | 1401.8x | 205 | 50% |
| Buy and hold | 36.2% | -89.2% | 0.34 | 0.41 | 1709.9x | 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, 25-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)