Trend-Following Backtester · Guide · backtest 한국어
equity · BR
Light S.A. backtest
10 trend-following strategies were compared on the full daily history of Light S.A.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -51.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -11.8%, drawdown -98.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.3%, MDD -51.8%, Sharpe 0.36, 12% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 5.6%, MDD -67.8%, exposure 18%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.1%p higher than buy and hold, while drawdown improves by 46.6%p (CAGR 5.3%, MDD -51.8%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=11, mult=4 |
5.3% | -51.8% | 0.36 | 0.10 | 3.9x | 48 | 12% |
| 볼린저 밴드 돌파 n=21, k=2.4 |
5.6% | -67.8% | 0.35 | 0.08 | 4.3x | 140 | 18% |
| Donchian 채널 돌파 entryN=39, exitN=11 |
3.6% | -80.5% | 0.27 | 0.04 | 2.6x | 134 | 24% |
| ROC 모멘텀 n=34, threshold=0.12 |
3.2% | -81.7% | 0.25 | 0.04 | 2.3x | 279 | 19% |
| MACD fast=23, slow=28, signal=15 |
1.1% | -86.4% | 0.21 | 0.01 | 1.3x | 309 | 50% |
| Supertrend period=37, mult=5 |
1.2% | -67.4% | 0.19 | 0.02 | 1.4x | 104 | 39% |
| ADX / DI 방향성 period=18, threshold=21 |
0.7% | -70.0% | 0.14 | 0.01 | 1.2x | 154 | 19% |
| SMA 크로스오버 fast=18, slow=68 |
-0.7% | -79.1% | 0.13 | -0.01 | 0.8x | 102 | 41% |
| EMA 크로스오버 fast=38, slow=122 |
-4.1% | -69.9% | 0.00 | -0.06 | 0.3x | 58 | 39% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-6.9% | -93.0% | -0.04 | -0.07 | 0.2x | 225 | 46% |
| Buy and hold | -11.8% | -98.4% | 0.02 | -0.12 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 35-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 35-day average