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. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 30.5%, MDD -54.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 29.2%, drawdown -88.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 30.5%, MDD -54.6%, Sharpe 0.86, 54% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 30.5%, 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 |
30.5% | -54.6% | 0.86 | 0.56 | 50.0x | 101 | 54% |
| Supertrend period=27, mult=3.5 |
26.1% | -55.9% | 0.82 | 0.47 | 30.5x | 81 | 47% |
| Parabolic SAR step=0.01, maxStep=0.1 |
25.1% | -60.8% | 0.77 | 0.41 | 27.0x | 165 | 50% |
| Donchian 채널 돌파 entryN=10, exitN=41 |
27.9% | -67.6% | 0.77 | 0.41 | 37.5x | 73 | 76% |
| 볼린저 밴드 돌파 n=43, k=0.3 |
24.7% | -60.7% | 0.76 | 0.41 | 25.8x | 153 | 49% |
| ROC 모멘텀 n=29, threshold=0.03 |
22.5% | -59.8% | 0.72 | 0.38 | 19.9x | 259 | 47% |
| MACD fast=8, slow=47, signal=18 |
18.5% | -64.1% | 0.65 | 0.29 | 12.2x | 199 | 49% |
| SMA 크로스오버 fast=41, slow=131 |
17.9% | -66.6% | 0.61 | 0.27 | 11.3x | 28 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=13, mult=2.2 |
15.9% | -47.2% | 0.59 | 0.34 | 8.8x | 69 | 39% |
| ADX / DI 방향성 period=27, threshold=1 |
15.0% | -64.9% | 0.55 | 0.23 | 7.8x | 187 | 60% |
| Buy and hold | 29.2% | -88.9% | 0.75 | 0.33 | 43.2x | 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