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.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.2%, MDD -70.0%).

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 4.3%, drawdown -98.0%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -35.9%, Sharpe 0.32, 7% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 5.4%, MDD -77.9%, exposure 53%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 62.1%p (CAGR 4.2%, MDD -70.0%, exposure 25%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=22, threshold=35
3.2%-35.9%0.320.094.3x447%
Donchian 채널 돌파
entryN=65, exitN=61
5.4%-77.9%0.310.0711.2x8553%
SMA 크로스오버
fast=10, slow=159
4.4%-80.2%0.280.067.5x13452%
Keltner 채널 돌파
emaPeriod=44, atrPeriod=14, mult=3.3
4.2%-70.0%0.280.066.8x14625%
Supertrend
period=18, mult=4.4
4.2%-91.3%0.270.056.8x18650%
EMA 크로스오버
fast=27, slow=52
3.6%-86.9%0.260.045.2x17653%
ROC 모멘텀
n=148, threshold=0.08
2.9%-86.1%0.230.033.8x35041%
볼린저 밴드 돌파
n=32, k=3.4
2.8%-42.0%0.220.073.6x528%
Parabolic SAR
step=0.01, maxStep=0.12
-0.8%-97.9%0.11-0.010.7x56851%
MACD
fast=16, slow=35, signal=17
-3.2%-98.2%0.04-0.030.2x59152%
Buy and hold4.3%-98.0%0.300.047.1x1100%
1x 10x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -25% -49% -74% -98% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -35.9% (2025-11-03 → 2025-11-19), prior peak not yet recovered.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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