Trend-Following Backtester · Guide · backtest 한국어
equity · US
Luxfer Holdings PLC backtest
10 trend-following strategies were compared on the full daily history of Luxfer Holdings PLC. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 2.6%, MDD -29.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.2%, drawdown -72.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.0%, MDD -11.1%, Sharpe 0.33, 5% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.8%, MDD -55.5%, exposure 55%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 61.6%p (CAGR 2.6%, MDD -29.3%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=3.1 |
2.0% | -11.1% | 0.33 | 0.18 | 1.3x | 16 | 5% |
| Donchian 채널 돌파 entryN=56, exitN=72 |
4.8% | -55.5% | 0.31 | 0.09 | 1.9x | 21 | 55% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=17, mult=2.1 |
2.6% | -29.3% | 0.27 | 0.09 | 1.4x | 60 | 15% |
| ADX / DI 방향성 period=34, threshold=15 |
2.9% | -38.3% | 0.25 | 0.07 | 1.5x | 63 | 29% |
| SMA 크로스오버 fast=47, slow=184 |
2.6% | -55.1% | 0.23 | 0.05 | 1.4x | 17 | 47% |
| EMA 크로스오버 fast=55, slow=81 |
2.1% | -59.3% | 0.21 | 0.04 | 1.3x | 27 | 50% |
| MACD fast=8, slow=30, signal=10 |
1.5% | -70.0% | 0.19 | 0.02 | 1.2x | 261 | 50% |
| ROC 모멘텀 n=133, threshold=0.05 |
0.6% | -55.0% | 0.14 | 0.01 | 1.1x | 107 | 43% |
| Parabolic SAR step=0.055, maxStep=0.06 |
0.2% | -68.5% | 0.14 | 0.00 | 1.0x | 248 | 51% |
| Supertrend period=23, mult=4 |
-1.0% | -69.0% | 0.10 | -0.01 | 0.9x | 56 | 52% |
| Buy and hold | 3.2% | -72.7% | 0.27 | 0.04 | 1.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 16-day middle average