Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lantronix, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lantronix, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR -8.1%, drawdown -98.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -4.4%, MDD -92.6%, Sharpe 0.14, 45% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR -3.6%, MDD -83.0%, exposure 31%.
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=28, slow=163 |
-4.4% | -92.6% | 0.14 | -0.05 | 0.3x | 58 | 45% |
| Supertrend period=9, mult=5 |
-7.2% | -94.8% | 0.14 | -0.08 | 0.1x | 64 | 57% |
| ADX / DI 방향성 period=37, threshold=15 |
-3.6% | -83.0% | 0.10 | -0.04 | 0.4x | 92 | 31% |
| EMA 크로스오버 fast=32, slow=158 |
-5.4% | -92.6% | 0.10 | -0.06 | 0.2x | 56 | 42% |
| Donchian 채널 돌파 entryN=22, exitN=18 |
-8.2% | -94.7% | 0.06 | -0.09 | 0.1x | 132 | 44% |
| 볼린저 밴드 돌파 n=62, k=1.7 |
-5.9% | -87.4% | 0.05 | -0.07 | 0.2x | 110 | 30% |
| Parabolic SAR step=0.005, maxStep=0.4 |
-9.7% | -96.8% | 0.03 | -0.10 | 0.1x | 184 | 42% |
| ROC 모멘텀 n=91, threshold=0.07 |
-15.0% | -99.4% | -0.12 | -0.15 | 0.0x | 328 | 38% |
| MACD fast=9, slow=52, signal=17 |
-18.4% | -99.9% | -0.13 | -0.18 | 0.0x | 424 | 50% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=25, mult=1.1 |
-15.5% | -99.3% | -0.18 | -0.16 | 0.0x | 206 | 34% |
| Buy and hold | -8.1% | -98.7% | 0.26 | -0.08 | 0.1x | 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 28-day average price crosses above the 163-day average
- Sell — Sell (to cash) when the 28-day average falls below the 163-day average