Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lincoln Electric Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lincoln Electric Holdings, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -69.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -67.6%, Sharpe 0.53, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.14 |
12.9% | -67.6% | 0.53 | 0.19 | 50.3x | 7 | 100% |
| Supertrend period=8, mult=3 |
9.3% | -52.2% | 0.48 | 0.18 | 17.6x | 182 | 60% |
| Donchian 채널 돌파 entryN=9, exitN=84 |
8.7% | -74.8% | 0.43 | 0.12 | 14.6x | 81 | 91% |
| SMA 크로스오버 fast=53, slow=233 |
4.7% | -57.2% | 0.31 | 0.08 | 4.3x | 41 | 64% |
| MACD fast=21, slow=55, signal=13 |
4.0% | -46.7% | 0.29 | 0.09 | 3.6x | 352 | 50% |
| EMA 크로스오버 fast=35, slow=206 |
3.9% | -70.1% | 0.29 | 0.06 | 3.5x | 63 | 68% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.7% | -51.4% | 0.28 | 0.07 | 3.3x | 280 | 56% |
| 볼린저 밴드 돌파 n=59, k=1 |
2.5% | -62.3% | 0.23 | 0.04 | 2.2x | 200 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=9, mult=1.3 |
1.1% | -67.0% | 0.17 | 0.02 | 1.4x | 242 | 49% |
| ADX / DI 방향성 period=33, threshold=30 |
-1.1% | -57.3% | -0.04 | -0.02 | 0.7x | 14 | 4% |
| Buy and hold | 13.3% | -69.3% | 0.54 | 0.19 | 57.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -14%
- Sell — Sell when the 1-day return drops to -14% or below