Trend-Following Backtester · Guide · backtest 한국어
equity · TW
LandMark Optoelectronics Corp. backtest
10 trend-following strategies were compared on the full daily history of LandMark Optoelectronics Corp.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 24.3%, MDD -26.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 31.7%, drawdown -80.3%).
Sharpe leader (same as main): MACD — CAGR 36.8%, MDD -76.8%, Sharpe 1.02, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 3.5%p (CAGR 24.3%, MDD -26.4%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=57, signal=16 |
36.8% | -76.8% | 1.02 | 0.48 | 44.9x | 143 | 50% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=3.7 |
24.3% | -26.4% | 1.01 | 0.92 | 13.9x | 19 | 13% |
| Parabolic SAR step=0.02, maxStep=0.06 |
35.2% | -63.9% | 0.97 | 0.55 | 38.7x | 151 | 53% |
| 볼린저 밴드 돌파 n=16, k=1 |
28.1% | -77.7% | 0.87 | 0.36 | 20.2x | 211 | 44% |
| ADX / DI 방향성 period=19, threshold=32 |
18.0% | -24.8% | 0.86 | 0.73 | 7.5x | 22 | 11% |
| ROC 모멘텀 n=146, threshold=-0.03 |
29.9% | -65.3% | 0.84 | 0.46 | 23.9x | 101 | 55% |
| EMA 크로스오버 fast=67, slow=171 |
29.0% | -73.1% | 0.82 | 0.40 | 22.0x | 15 | 49% |
| SMA 크로스오버 fast=42, slow=202 |
27.8% | -69.0% | 0.81 | 0.40 | 19.5x | 21 | 44% |
| Supertrend period=9, mult=2.2 |
23.2% | -77.6% | 0.73 | 0.30 | 12.6x | 135 | 53% |
| Donchian 채널 돌파 entryN=116, exitN=47 |
20.6% | -62.0% | 0.73 | 0.33 | 9.7x | 17 | 32% |
| Buy and hold | 31.7% | -80.3% | 0.79 | 0.40 | 28.3x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/57) crosses above its 16-day signal line
- Sell — Sell when the MACD line crosses back below the signal line