Trend-Following Backtester · Guide · backtest 한국어
equity · BR
LWSA S.A. backtest
10 trend-following strategies were compared on the full daily history of LWSA S.A.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.0%, MDD -20.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.8%, drawdown -92.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 25.9%, MDD -22.9%, Sharpe 1.07, 14% exposure.
CAGR reference leader: Supertrend — CAGR 34.8%, MDD -59.0%, exposure 37%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 28.7%p higher than buy and hold, while drawdown improves by 69.7%p (CAGR 9.0%, MDD -20.7%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=30, threshold=0.23 |
25.9% | -22.9% | 1.07 | 1.13 | 4.5x | 28 | 14% |
| Supertrend period=31, mult=4.5 |
34.8% | -59.0% | 0.98 | 0.59 | 7.1x | 13 | 37% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=20, mult=2.1 |
19.8% | -41.1% | 0.77 | 0.48 | 3.3x | 23 | 24% |
| SMA 크로스오버 fast=52, slow=68 |
21.8% | -47.3% | 0.74 | 0.46 | 3.6x | 29 | 42% |
| Donchian 채널 돌파 entryN=44, exitN=41 |
17.7% | -55.0% | 0.67 | 0.32 | 2.9x | 11 | 34% |
| 볼린저 밴드 돌파 n=32, k=2.2 |
15.0% | -42.4% | 0.63 | 0.35 | 2.5x | 31 | 23% |
| EMA 크로스오버 fast=11, slow=50 |
16.8% | -58.7% | 0.62 | 0.29 | 2.8x | 33 | 40% |
| ADX / DI 방향성 period=17, threshold=36 |
9.0% | -20.7% | 0.61 | 0.43 | 1.8x | 8 | 6% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-4.3% | -82.0% | 0.10 | -0.05 | 0.7x | 119 | 47% |
| MACD fast=6, slow=27, signal=7 |
-10.8% | -89.2% | -0.05 | -0.12 | 0.5x | 187 | 51% |
| Buy and hold | -2.8% | -92.6% | 0.27 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 30-day return is greater than 23%
- Sell — Sell when the 30-day return drops to 23% or below