Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Luzerner Kantonalbank AG backtest
10 trend-following strategies were compared on the full daily history of Luzerner Kantonalbank AG. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.5%, MDD -21.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.4%, drawdown -44.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -21.0%, Sharpe 0.61, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 5.5%, MDD -21.0%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=62, slow=178 |
5.5% | -21.0% | 0.61 | 0.26 | 3.9x | 33 | 60% |
| ADX / DI 방향성 period=30, threshold=29 |
1.9% | -5.2% | 0.56 | 0.37 | 1.6x | 12 | 6% |
| EMA 크로스오버 fast=53, slow=224 |
5.1% | -33.7% | 0.55 | 0.15 | 3.6x | 23 | 64% |
| Donchian 채널 돌파 entryN=99, exitN=84 |
4.4% | -31.4% | 0.49 | 0.14 | 3.0x | 29 | 61% |
| ROC 모멘텀 Hold-like · Exposure 100% n=5, threshold=-0.08 |
5.4% | -46.9% | 0.45 | 0.11 | 3.8x | 7 | 100% |
| Supertrend period=10, mult=4.5 |
3.9% | -35.5% | 0.44 | 0.11 | 2.7x | 41 | 63% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=25, mult=3 |
2.4% | -15.8% | 0.38 | 0.15 | 1.8x | 43 | 28% |
| 볼린저 밴드 돌파 n=58, k=2.6 |
1.5% | -22.3% | 0.27 | 0.07 | 1.5x | 57 | 24% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.6% | -66.0% | -0.12 | -0.02 | 0.7x | 201 | 56% |
| MACD fast=22, slow=57, signal=19 |
-5.3% | -81.8% | -0.52 | -0.07 | 0.2x | 281 | 51% |
| Buy and hold | 5.4% | -44.5% | 0.45 | 0.12 | 3.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 62-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 62-day average falls below the 178-day average