Trend-Following Backtester · Guide · backtest 한국어

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LTM Limited backtest

10 trend-following strategies were compared on the full daily history of LTM Limited. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.8%, MDD -27.2%).

Data 2016-07-21 ~ 2026-07-31daily bars 2,480 (10.0 years)Costs 0.5%Venue NSEMonthly snapshot 2026-07-31

Results by strategy

4 of 10 beat buy and hold (CAGR 20.0%, drawdown -53.2%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.8%, MDD -27.2%, Sharpe 0.98, 59% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 23.0%, MDD -34.4%, exposure 77%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 22.8%, MDD -27.2%, exposure 59%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=53, k=0.4
22.8%-27.2%0.980.847.8x6959%
EMA 크로스오버
fast=8, slow=46
22.9%-36.9%0.970.627.9x5563%
SMA 크로스오버
fast=16, slow=24
21.0%-34.4%0.930.616.8x10358%
ADX / DI 방향성
period=36, threshold=25
15.9%-17.5%0.930.904.4x618%
Donchian 채널 돌파
entryN=6, exitN=22
23.0%-34.4%0.900.678.0x5777%
Supertrend
period=22, mult=4.3
18.9%-33.8%0.830.565.7x3364%
Keltner 채널 돌파
emaPeriod=58, atrPeriod=19, mult=1
17.8%-36.2%0.820.495.2x7356%
ROC 모멘텀
n=115, threshold=0.01
16.6%-41.8%0.730.404.7x5862%
Parabolic SAR
step=0.005, maxStep=0.12
8.6%-43.3%0.480.202.3x8357%
MACD
fast=13, slow=20, signal=23
8.2%-36.1%0.470.232.2x13152%
Buy and hold20.0%-53.2%0.730.386.2x1100%
1x 10x 2017 2019 2021 2023 2025 Donchian 채널 돌파볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -13% -27% -40% -53% 2017 2019 2021 2023 2025 Buy and holdDonchian 채널 돌파볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -27.2% (2022-08-11 → 2023-10-25), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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