Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Lotus Holdings Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Lotus Holdings Co., Ltd Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 10.0%, MDD -43.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 5.4%, drawdown -88.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.8%, MDD -59.8%, Sharpe 0.58, 22% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 28.2%p (CAGR 10.0%, MDD -43.0%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=80, k=3 |
11.8% | -59.8% | 0.58 | 0.20 | 22.5x | 40 | 22% |
| ADX / DI 방향성 period=32, threshold=27 |
10.0% | -43.0% | 0.56 | 0.23 | 14.3x | 48 | 14% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=15, mult=3.6 |
10.5% | -50.4% | 0.54 | 0.21 | 16.6x | 50 | 22% |
| Donchian 채널 돌파 entryN=115, exitN=24 |
9.9% | -52.9% | 0.51 | 0.19 | 14.0x | 46 | 20% |
| SMA 크로스오버 fast=35, slow=168 |
10.8% | -64.3% | 0.48 | 0.17 | 17.5x | 55 | 45% |
| EMA 크로스오버 fast=51, slow=197 |
10.7% | -54.5% | 0.48 | 0.20 | 17.2x | 33 | 46% |
| ROC 모멘텀 n=122, threshold=0.06 |
9.1% | -69.3% | 0.44 | 0.13 | 11.5x | 235 | 39% |
| Supertrend period=24, mult=2.6 |
9.0% | -56.5% | 0.43 | 0.16 | 11.1x | 203 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
6.4% | -80.2% | 0.36 | 0.08 | 5.7x | 414 | 49% |
| MACD fast=18, slow=23, signal=17 |
5.0% | -75.5% | 0.31 | 0.07 | 3.9x | 357 | 51% |
| Buy and hold | 5.4% | -88.0% | 0.34 | 0.06 | 4.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 80-day average (3× volatility)
- Sell — Sell when the close falls back to the 80-day middle average