Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lumen Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lumen Technologies, Inc.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.9%, MDD -36.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.0%, drawdown -98.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -36.8%, Sharpe 0.37, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.3%, MDD -78.2%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 61.3%p (CAGR 3.9%, MDD -36.8%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=27 |
3.9% | -36.8% | 0.37 | 0.11 | 5.9x | 42 | 9% |
| SMA 크로스오버 fast=8, slow=157 |
5.3% | -78.2% | 0.31 | 0.07 | 10.9x | 142 | 52% |
| Donchian 채널 돌파 entryN=63, exitN=49 |
5.2% | -76.9% | 0.31 | 0.07 | 10.5x | 100 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=23, mult=3.3 |
4.9% | -60.6% | 0.30 | 0.08 | 9.2x | 148 | 26% |
| Supertrend period=19, mult=4.4 |
4.5% | -90.6% | 0.28 | 0.05 | 7.6x | 186 | 50% |
| EMA 크로스오버 fast=10, slow=116 |
3.8% | -88.2% | 0.26 | 0.04 | 5.7x | 188 | 52% |
| ROC 모멘텀 n=149, threshold=0.09 |
3.4% | -81.2% | 0.24 | 0.04 | 4.7x | 324 | 40% |
| 볼린저 밴드 돌파 n=59, k=1.9 |
3.3% | -78.6% | 0.24 | 0.04 | 4.6x | 186 | 34% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-1.3% | -97.9% | 0.10 | -0.01 | 0.5x | 572 | 51% |
| MACD fast=19, slow=20, signal=19 |
-2.5% | -97.0% | 0.07 | -0.03 | 0.3x | 604 | 52% |
| Buy and hold | 4.0% | -98.0% | 0.29 | 0.04 | 6.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)