Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Lotus Bakeries NV backtest
10 trend-following strategies were compared on the full daily history of Lotus Bakeries NV. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.3%, MDD -26.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.2%, drawdown -46.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.3%, MDD -26.7%, Sharpe 0.97, 76% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 19.8%p (CAGR 20.3%, MDD -26.7%, exposure 76%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=41, slow=123 |
20.3% | -26.7% | 0.97 | 0.76 | 136.2x | 27 | 76% |
| SMA 크로스오버 fast=21, slow=203 |
19.7% | -27.2% | 0.95 | 0.73 | 120.0x | 31 | 75% |
| Donchian 채널 돌파 entryN=84, exitN=49 |
16.6% | -25.2% | 0.87 | 0.66 | 58.8x | 41 | 66% |
| Supertrend period=23, mult=5 |
14.5% | -40.7% | 0.73 | 0.36 | 36.2x | 69 | 72% |
| Keltner 채널 돌파 emaPeriod=101, atrPeriod=13, mult=2.6 |
12.7% | -41.1% | 0.72 | 0.31 | 24.0x | 83 | 59% |
| ROC 모멘텀 n=135, threshold=-0.01 |
13.5% | -50.9% | 0.70 | 0.27 | 29.2x | 155 | 75% |
| Parabolic SAR step=0.005, maxStep=0.12 |
10.3% | -39.6% | 0.60 | 0.26 | 13.5x | 166 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
6.0% | -42.5% | 0.42 | 0.14 | 4.7x | 132 | 45% |
| ADX / DI 방향성 period=26, threshold=12 |
4.4% | -42.6% | 0.33 | 0.10 | 3.2x | 288 | 47% |
| MACD fast=16, slow=41, signal=16 |
2.6% | -62.9% | 0.23 | 0.04 | 2.0x | 338 | 46% |
| Buy and hold | 21.2% | -46.5% | 0.86 | 0.46 | 165.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 41-day EMA crosses above the 123-day EMA
- Sell — Sell when the 41-day EMA falls below the 123-day EMA