Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lucid Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lucid Group, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.1%, MDD -41.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -39.8%, drawdown -99.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 38.3%, MDD -45.9%, Sharpe 0.86, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 78.1%p higher than buy and hold, while drawdown improves by 53.3%p (CAGR 17.1%, MDD -41.6%, exposure 4%).
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=12, k=2.2 |
38.3% | -45.9% | 0.86 | 0.83 | 6.9x | 40 | 18% |
| ADX / DI 방향성 period=9, threshold=37 |
22.2% | -48.1% | 0.65 | 0.46 | 3.3x | 26 | 12% |
| Donchian 채널 돌파 entryN=12, exitN=5 |
22.8% | -54.7% | 0.63 | 0.42 | 3.4x | 52 | 26% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=3.7 |
17.1% | -41.6% | 0.61 | 0.41 | 2.6x | 8 | 4% |
| Supertrend period=26, mult=2.7 |
9.5% | -78.7% | 0.44 | 0.12 | 1.7x | 38 | 32% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-0.4% | -81.2% | 0.30 | -0.00 | 1.0x | 82 | 37% |
| MACD fast=18, slow=58, signal=14 |
-3.5% | -92.8% | 0.30 | -0.04 | 0.8x | 60 | 49% |
| ROC 모멘텀 n=12, threshold=0.06 |
-1.1% | -82.0% | 0.27 | -0.01 | 0.9x | 122 | 24% |
| EMA 크로스오버 fast=28, slow=242 |
3.7% | -56.8% | 0.27 | 0.07 | 1.2x | 2 | 8% |
| SMA 크로스오버 fast=13, slow=16 |
-9.8% | -94.0% | 0.18 | -0.10 | 0.5x | 128 | 40% |
| Buy and hold | -39.8% | -99.2% | -0.15 | -0.40 | 0.0x | 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 12-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 12-day middle average