Trend-Following Backtester · Guide · backtest 한국어
equity · NL
Lakefront Biotherapeutics backtest
10 trend-following strategies were compared on the full daily history of Lakefront Biotherapeutics. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 13.7%, MDD -43.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.7%, drawdown -91.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.5%, MDD -44.8%, Sharpe 0.46, 16% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 15.0%, MDD -46.3%, exposure 59%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 46.8%p (CAGR 13.7%, MDD -43.1%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=2.9 |
6.5% | -44.8% | 0.46 | 0.14 | 3.8x | 30 | 16% |
| SMA 크로스오버 fast=32, slow=407 |
9.0% | -61.3% | 0.46 | 0.15 | 6.2x | 8 | 40% |
| EMA 크로스오버 fast=53, slow=216 |
15.0% | -46.3% | 0.40 | 0.32 | 19.6x | 10 | 59% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=24, mult=2.1 |
5.3% | -52.6% | 0.39 | 0.10 | 3.0x | 82 | 29% |
| Supertrend period=24, mult=3.7 |
14.4% | -59.4% | 0.38 | 0.24 | 17.5x | 76 | 58% |
| Donchian 채널 돌파 entryN=65, exitN=30 |
13.7% | -43.1% | 0.37 | 0.32 | 15.2x | 38 | 51% |
| ROC 모멘텀 n=20, threshold=0.11 |
3.8% | -40.7% | 0.33 | 0.09 | 2.2x | 188 | 13% |
| ADX / DI 방향성 period=26, threshold=17 |
9.8% | -50.0% | 0.30 | 0.20 | 7.3x | 100 | 43% |
| Parabolic SAR step=0.005, maxStep=0.3 |
8.7% | -78.7% | 0.29 | 0.11 | 5.9x | 122 | 57% |
| MACD fast=12, slow=27, signal=16 |
4.2% | -87.8% | 0.22 | 0.05 | 2.4x | 238 | 49% |
| Buy and hold | 5.7% | -91.6% | 0.27 | 0.06 | 3.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 59-day middle average