Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lam Research Corporation backtest
10 trend-following strategies were compared on the full daily history of Lam Research Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -87.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.2%, MDD -81.5%, Sharpe 0.61, 63% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=45, slow=161 |
18.2% | -81.5% | 0.61 | 0.22 | 1168.3x | 65 | 63% |
| EMA 크로스오버 fast=28, slow=108 |
16.2% | -71.8% | 0.58 | 0.23 | 578.2x | 91 | 63% |
| Supertrend period=19, mult=4.9 |
15.5% | -75.2% | 0.56 | 0.21 | 439.7x | 128 | 59% |
| Donchian 채널 돌파 entryN=64, exitN=62 |
15.4% | -71.9% | 0.56 | 0.21 | 429.3x | 77 | 61% |
| ROC 모멘텀 n=60, threshold=-0.04 |
13.8% | -66.5% | 0.52 | 0.21 | 235.1x | 467 | 67% |
| 볼린저 밴드 돌파 n=74, k=2 |
9.1% | -75.8% | 0.43 | 0.12 | 40.2x | 138 | 41% |
| ADX / DI 방향성 period=38, threshold=11 |
9.0% | -69.2% | 0.42 | 0.13 | 38.6x | 356 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=22, mult=1.1 |
7.6% | -85.1% | 0.38 | 0.09 | 22.1x | 348 | 52% |
| MACD fast=20, slow=47, signal=17 |
-0.2% | -90.9% | 0.18 | -0.00 | 0.9x | 474 | 52% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-3.7% | -96.7% | 0.09 | -0.04 | 0.2x | 388 | 56% |
| Buy and hold | 18.5% | -87.9% | 0.58 | 0.21 | 1311.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 45-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 45-day average falls below the 161-day average