Trend-Following Backtester · Guide · backtest 한국어
equity · FI
Lumo Homes Plc backtest
10 trend-following strategies were compared on the full daily history of Lumo Homes Plc. 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 3.0%, MDD -10.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.7%, drawdown -68.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.9%, MDD -17.4%, Sharpe 0.66, 24% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 50.7%p (CAGR 3.0%, MDD -10.7%, exposure 8%).
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=55, atrPeriod=10, mult=3.5 |
6.9% | -17.4% | 0.66 | 0.40 | 1.7x | 13 | 24% |
| ADX / DI 방향성 period=30, threshold=18 |
6.0% | -26.8% | 0.53 | 0.22 | 1.6x | 33 | 25% |
| SMA 크로스오버 fast=52, slow=149 |
6.7% | -28.1% | 0.47 | 0.24 | 1.7x | 10 | 42% |
| Donchian 채널 돌파 entryN=77, exitN=29 |
5.1% | -29.1% | 0.45 | 0.18 | 1.5x | 15 | 28% |
| 볼린저 밴드 돌파 n=30, k=2.9 |
3.0% | -10.7% | 0.44 | 0.29 | 1.3x | 10 | 8% |
| EMA 크로스오버 fast=11, slow=145 |
6.1% | -36.7% | 0.43 | 0.17 | 1.6x | 16 | 46% |
| ROC 모멘텀 n=124, threshold=0.05 |
4.0% | -32.3% | 0.32 | 0.12 | 1.4x | 50 | 41% |
| Parabolic SAR step=0.01, maxStep=0.3 |
2.1% | -32.3% | 0.20 | 0.07 | 1.2x | 108 | 52% |
| Supertrend period=26, mult=3.3 |
1.7% | -57.4% | 0.19 | 0.03 | 1.2x | 39 | 48% |
| MACD fast=11, slow=26, signal=17 |
-0.4% | -40.7% | 0.08 | -0.01 | 1.0x | 123 | 51% |
| Buy and hold | -0.7% | -68.1% | 0.12 | -0.01 | 0.9x | 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 55-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 55-day average