Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Luxnet Corporation backtest
10 trend-following strategies were compared on the full daily history of Luxnet Corporation. 2 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 28.7%, MDD -54.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 25.0%, drawdown -88.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 28.7%, MDD -54.6%, Sharpe 0.83, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 28.7%, MDD -54.6%, exposure 54%).
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=13, slow=24 |
28.7% | -54.6% | 0.83 | 0.53 | 40.3x | 100 | 54% |
| Supertrend period=27, mult=3.5 |
24.5% | -55.9% | 0.79 | 0.44 | 24.8x | 80 | 47% |
| Donchian 채널 돌파 entryN=10, exitN=41 |
26.3% | -67.6% | 0.74 | 0.39 | 30.5x | 72 | 76% |
| 볼린저 밴드 돌파 n=43, k=0.3 |
23.1% | -60.7% | 0.73 | 0.38 | 20.9x | 152 | 49% |
| Parabolic SAR step=0.01, maxStep=0.1 |
21.1% | -60.8% | 0.69 | 0.35 | 16.4x | 165 | 49% |
| ROC 모멘텀 n=29, threshold=0.03 |
20.9% | -59.8% | 0.69 | 0.35 | 16.1x | 258 | 46% |
| SMA 크로스오버 fast=41, slow=131 |
18.1% | -66.6% | 0.61 | 0.27 | 11.4x | 27 | 54% |
| MACD fast=8, slow=47, signal=18 |
15.5% | -64.1% | 0.58 | 0.24 | 8.2x | 198 | 49% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2.2 |
15.4% | -47.2% | 0.58 | 0.33 | 8.1x | 68 | 39% |
| ADX / DI 방향성 period=27, threshold=1 |
13.5% | -64.9% | 0.52 | 0.21 | 6.4x | 186 | 60% |
| Buy and hold | 25.0% | -88.9% | 0.69 | 0.28 | 26.2x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 13-day EMA crosses above the 24-day EMA
- Sell — Sell when the 13-day EMA falls below the 24-day EMA