Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lightbridge Corporation backtest
10 trend-following strategies were compared on the full daily history of Lightbridge Corporation. 8 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
8 of 10 beat buy and hold (CAGR -14.4%, drawdown -99.9%).
Sharpe leader (same as main): MACD — CAGR -0.5%, MDD -98.0%, Sharpe 0.37, 49% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 1.0%, MDD -97.4%, exposure 20%.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=54, signal=19 |
-0.5% | -98.0% | 0.37 | -0.00 | 0.9x | 183 | 49% |
| 볼린저 밴드 돌파 n=20, k=2.3 |
1.0% | -97.4% | 0.31 | 0.01 | 1.2x | 148 | 20% |
| Donchian 채널 돌파 entryN=33, exitN=6 |
1.0% | -90.6% | 0.29 | 0.01 | 1.2x | 102 | 16% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=8, mult=2.3 |
-0.9% | -86.3% | 0.24 | -0.01 | 0.8x | 74 | 13% |
| ADX / DI 방향성 period=10, threshold=35 |
-2.5% | -96.8% | 0.21 | -0.03 | 0.6x | 124 | 15% |
| ROC 모멘텀 n=19, threshold=0.14 |
-5.3% | -98.6% | 0.21 | -0.05 | 0.3x | 346 | 20% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-11.7% | -99.5% | 0.19 | -0.12 | 0.1x | 151 | 39% |
| Supertrend period=5, mult=3.4 |
-18.9% | -99.8% | 0.15 | -0.19 | 0.0x | 98 | 52% |
| SMA 크로스오버 fast=10, slow=139 |
-13.2% | -99.7% | 0.10 | -0.13 | 0.0x | 78 | 32% |
| EMA 크로스오버 fast=59, slow=118 |
-15.8% | -99.8% | 0.07 | -0.16 | 0.0x | 40 | 33% |
| Buy and hold | -14.4% | -99.9% | 0.34 | -0.14 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/54) crosses above its 19-day signal line
- Sell — Sell when the MACD line crosses back below the signal line