Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lightwave Logic, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lightwave Logic, Inc.. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 27.1%, MDD -57.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.9%, drawdown -95.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 27.1%, MDD -57.1%, Sharpe 0.73, 13% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 21.2%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 27.1%, MDD -57.1%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=72, exitN=8 |
27.1% | -57.1% | 0.73 | 0.47 | 130.0x | 52 | 13% |
| 볼린저 밴드 돌파 n=22, k=2.6 |
26.4% | -73.3% | 0.70 | 0.36 | 115.2x | 96 | 18% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=29, mult=3.9 |
18.6% | -65.4% | 0.61 | 0.28 | 32.0x | 34 | 9% |
| MACD fast=13, slow=77, signal=31 |
17.9% | -86.3% | 0.57 | 0.21 | 28.2x | 170 | 49% |
| ADX / DI 방향성 period=14, threshold=31 |
14.6% | -76.4% | 0.52 | 0.19 | 16.0x | 88 | 14% |
| SMA 크로스오버 fast=36, slow=163 |
7.8% | -91.6% | 0.42 | 0.08 | 4.6x | 48 | 42% |
| EMA 크로스오버 fast=54, slow=149 |
8.2% | -88.4% | 0.42 | 0.09 | 5.0x | 32 | 36% |
| ROC 모멘텀 n=141, threshold=0.12 |
7.3% | -88.8% | 0.41 | 0.08 | 4.2x | 187 | 33% |
| Parabolic SAR step=0.03, maxStep=0.24 |
3.3% | -92.7% | 0.37 | 0.04 | 1.9x | 486 | 42% |
| Supertrend period=9, mult=2.8 |
3.3% | -90.1% | 0.37 | 0.04 | 1.9x | 134 | 46% |
| Buy and hold | 5.9% | -95.8% | 0.52 | 0.06 | 3.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 72 days
- Sell — Sell when price breaks below the lowest low of the last 8 days