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 20.8%, MDD -26.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 21.7%, drawdown -46.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.8%, MDD -26.7%, Sharpe 0.99, 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 20.8%, 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 |
20.8% | -26.7% | 0.99 | 0.78 | 153.2x | 27 | 76% |
| SMA 크로스오버 fast=21, slow=203 |
20.2% | -27.2% | 0.97 | 0.74 | 135.0x | 31 | 75% |
| Donchian 채널 돌파 entryN=84, exitN=49 |
17.0% | -25.2% | 0.89 | 0.68 | 66.2x | 41 | 67% |
| Supertrend period=23, mult=5 |
14.9% | -40.7% | 0.75 | 0.37 | 40.7x | 69 | 72% |
| Keltner 채널 돌파 emaPeriod=101, atrPeriod=13, mult=2.6 |
13.2% | -41.1% | 0.74 | 0.32 | 27.0x | 83 | 59% |
| ROC 모멘텀 n=135, threshold=-0.01 |
14.0% | -50.9% | 0.72 | 0.28 | 32.8x | 155 | 75% |
| Parabolic SAR step=0.005, maxStep=0.12 |
10.5% | -39.6% | 0.61 | 0.26 | 14.2x | 167 | 57% |
| 볼린저 밴드 돌파 n=58, k=1.7 |
6.2% | -42.5% | 0.43 | 0.15 | 4.9x | 133 | 45% |
| ADX / DI 방향성 period=26, threshold=12 |
4.5% | -42.6% | 0.33 | 0.11 | 3.3x | 289 | 47% |
| MACD fast=16, slow=41, signal=16 |
3.0% | -62.9% | 0.25 | 0.05 | 2.2x | 339 | 46% |
| Buy and hold | 21.7% | -46.5% | 0.87 | 0.47 | 186.7x | 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