Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Loomis AB backtest
10 trend-following strategies were compared on the full daily history of Loomis AB. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.0%, MDD -41.2%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.3%, drawdown -61.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.6%, MDD -32.3%, Sharpe 0.64, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 29.5%p (CAGR 14.0%, MDD -41.2%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.12 |
15.6% | -32.3% | 0.64 | 0.48 | 13.1x | 25 | 99% |
| Donchian 채널 돌파 entryN=13, exitN=76 |
14.0% | -41.2% | 0.62 | 0.34 | 10.2x | 35 | 88% |
| SMA 크로스오버 fast=53, slow=60 |
9.2% | -55.8% | 0.52 | 0.17 | 4.8x | 119 | 60% |
| EMA 크로스오버 fast=19, slow=188 |
5.3% | -55.3% | 0.36 | 0.10 | 2.5x | 37 | 64% |
| Supertrend period=17, mult=4.1 |
4.5% | -60.8% | 0.31 | 0.07 | 2.2x | 77 | 61% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=18, mult=3.9 |
0.8% | -19.4% | 0.13 | 0.04 | 1.1x | 35 | 14% |
| Parabolic SAR step=0.005, maxStep=0.04 |
0.4% | -59.4% | 0.13 | 0.01 | 1.1x | 137 | 57% |
| 볼린저 밴드 돌파 n=45, k=2.6 |
0.6% | -45.9% | 0.11 | 0.01 | 1.1x | 63 | 28% |
| MACD fast=15, slow=24, signal=19 |
-0.4% | -43.4% | 0.10 | -0.01 | 0.9x | 226 | 51% |
| ADX / DI 방향성 period=26, threshold=38 |
-0.1% | -7.2% | -0.08 | -0.02 | 1.0x | 2 | 1% |
| Buy and hold | 13.3% | -61.8% | 0.56 | 0.22 | 9.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than -12%
- Sell — Sell when the 5-day return drops to -12% or below