Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Lasertec Corp. backtest
10 trend-following strategies were compared on the full daily history of Lasertec Corp.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 36.1%, MDD -49.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 37.5%, drawdown -76.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 36.1%, MDD -49.8%, Sharpe 0.98, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 27.1%p (CAGR 36.1%, MDD -49.8%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=13, slow=111 |
36.1% | -49.8% | 0.98 | 0.72 | 162.3x | 46 | 65% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=2.4 |
26.0% | -34.2% | 0.96 | 0.76 | 45.6x | 80 | 35% |
| Donchian 채널 돌파 entryN=84, exitN=87 |
34.3% | -59.1% | 0.92 | 0.58 | 130.0x | 19 | 72% |
| Supertrend period=24, mult=2.5 |
29.8% | -58.5% | 0.91 | 0.51 | 74.5x | 158 | 56% |
| 볼린저 밴드 돌파 n=51, k=1.9 |
25.2% | -55.8% | 0.91 | 0.45 | 41.1x | 68 | 41% |
| EMA 크로스오버 fast=52, slow=66 |
32.6% | -56.7% | 0.91 | 0.57 | 105.9x | 34 | 66% |
| ROC 모멘텀 n=140, threshold=-0.04 |
32.4% | -56.0% | 0.89 | 0.58 | 102.6x | 79 | 72% |
| Parabolic SAR step=0.01, maxStep=0.12 |
27.7% | -64.9% | 0.88 | 0.43 | 57.0x | 200 | 55% |
| ADX / DI 방향성 period=36, threshold=9 |
28.4% | -46.7% | 0.87 | 0.61 | 62.4x | 162 | 59% |
| MACD fast=15, slow=45, signal=13 |
19.8% | -76.4% | 0.70 | 0.26 | 19.8x | 214 | 52% |
| Buy and hold | 37.5% | -76.9% | 0.89 | 0.49 | 192.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 13-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 13-day average falls below the 111-day average