Trend-Following Backtester · Guide · backtest 한국어

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LPKF Laser & Electronics SE backtest

10 trend-following strategies were compared on the full daily history of LPKF Laser & Electronics SE. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.4%, MDD -60.2%).

Data 1998-12-01 ~ 2026-07-31daily bars 7,076 (27.7 years)Costs 0.5%Venue XETRMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR 1.0%, drawdown -98.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.3%, MDD -66.6%, Sharpe 0.51, 34% exposure.

CAGR reference leader: ADX / DI 방향성 — CAGR 12.3%, MDD -73.0%, exposure 31%.

Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.3%p higher than buy and hold, while drawdown improves by 31.5%p (CAGR 10.4%, MDD -60.2%, exposure 36%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=55, atrPeriod=10, mult=2.1
12.3%-66.6%0.510.1824.6x11234%
ADX / DI 방향성
period=44, threshold=13
12.3%-73.0%0.500.1724.7x14231%
볼린저 밴드 돌파
n=52, k=1.4
10.4%-60.2%0.460.1715.4x12436%
SMA 크로스오버
fast=44, slow=179
10.0%-73.6%0.440.1414.1x4146%
EMA 크로스오버
fast=46, slow=71
10.0%-80.1%0.440.1213.9x5947%
Donchian 채널 돌파
entryN=15, exitN=70
9.3%-88.0%0.420.1111.8x8374%
Supertrend
period=14, mult=3.9
8.7%-69.7%0.400.1210.0x12649%
ROC 모멘텀
n=126, threshold=-0.01
6.5%-85.6%0.360.085.7x17948%
Parabolic SAR
step=0.035, maxStep=0.34
5.7%-83.2%0.330.074.6x74249%
MACD
fast=25, slow=60, signal=19
5.5%-82.0%0.320.074.4x25051%
Buy and hold1.0%-98.1%0.310.011.3x1100%
1x 10x 1999 2003 2007 2011 2015 2019 2023 ADX / DI 방향성Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), ADX / DI 방향성 (CAGR reference), Buy and hold.
0% -25% -49% -74% -98% 1999 2003 2007 2011 2015 2019 2023 Buy and holdADX / DI 방향성Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -66.6% (2000-03-29 → 2009-04-01), recovered after 3,722 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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