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 17.3%, MDD -41.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -35.8%, drawdown -99.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 38.9%, MDD -45.9%, Sharpe 0.86, 18% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 74.7%p higher than buy and hold, while drawdown improves by 53.3%p (CAGR 17.3%, MDD -41.6%, exposure 5%).
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 |
38.9% | -45.9% | 0.86 | 0.85 | 6.9x | 40 | 18% |
| Donchian 채널 돌파 entryN=12, exitN=5 |
25.4% | -54.7% | 0.66 | 0.46 | 3.8x | 51 | 26% |
| ADX / DI 방향성 period=9, threshold=37 |
22.6% | -48.1% | 0.65 | 0.47 | 3.3x | 26 | 13% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=17, mult=3.7 |
17.3% | -41.6% | 0.61 | 0.42 | 2.6x | 8 | 5% |
| Supertrend period=26, mult=2.7 |
14.5% | -77.8% | 0.51 | 0.19 | 2.2x | 37 | 31% |
| MACD fast=18, slow=58, signal=14 |
-0.6% | -92.8% | 0.34 | -0.01 | 1.0x | 59 | 49% |
| Parabolic SAR step=0.015, maxStep=0.08 |
1.8% | -81.2% | 0.34 | 0.02 | 1.1x | 81 | 37% |
| EMA 크로스오버 fast=28, slow=242 |
3.8% | -56.8% | 0.27 | 0.07 | 1.2x | 2 | 8% |
| ROC 모멘텀 n=12, threshold=0.06 |
-1.4% | -82.0% | 0.27 | -0.02 | 0.9x | 119 | 24% |
| SMA 크로스오버 fast=13, slow=16 |
-8.0% | -94.0% | 0.21 | -0.09 | 0.6x | 125 | 40% |
| Buy and hold | -35.8% | -99.2% | -0.07 | -0.36 | 0.1x | 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