Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Lumax Auto Technologies Limited backtest
10 trend-following strategies were compared on the full daily history of Lumax Auto Technologies Limited. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 28.0%, MDD -44.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 26.0%, drawdown -86.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 32.8%, MDD -48.1%, Sharpe 0.96, 66% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 28.0%, MDD -44.6%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=181 |
32.8% | -48.1% | 0.96 | 0.68 | 263.2x | 13 | 66% |
| SMA 크로스오버 fast=8, slow=114 |
27.4% | -47.0% | 0.87 | 0.58 | 116.1x | 67 | 60% |
| ROC 모멘텀 n=87, threshold=-0.02 |
28.0% | -44.6% | 0.87 | 0.63 | 127.1x | 167 | 64% |
| Donchian 채널 돌파 entryN=70, exitN=52 |
21.6% | -44.9% | 0.76 | 0.48 | 46.0x | 31 | 49% |
| 볼린저 밴드 돌파 n=41, k=1.2 |
21.2% | -51.0% | 0.76 | 0.42 | 43.5x | 133 | 45% |
| Supertrend period=29, mult=5 |
21.7% | -57.2% | 0.74 | 0.38 | 47.1x | 39 | 57% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=27, mult=3.9 |
13.0% | -34.6% | 0.64 | 0.38 | 11.0x | 35 | 23% |
| Parabolic SAR step=0.005, maxStep=0.08 |
15.0% | -53.2% | 0.58 | 0.28 | 15.5x | 159 | 54% |
| ADX / DI 방향성 period=26, threshold=28 |
9.8% | -39.6% | 0.58 | 0.25 | 6.2x | 36 | 17% |
| MACD fast=8, slow=22, signal=18 |
14.9% | -68.4% | 0.57 | 0.22 | 15.3x | 326 | 50% |
| Buy and hold | 26.0% | -86.1% | 0.72 | 0.30 | 93.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 181-day EMA
- Sell — Sell when the 53-day EMA falls below the 181-day EMA