Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Luceco PLC backtest
10 trend-following strategies were compared on the full daily history of Luceco PLC. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 24.2%, MDD -36.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.6%, drawdown -87.7%).
Sharpe leader (same as main): Supertrend — CAGR 35.5%, MDD -49.2%, Sharpe 1.00, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.8%p higher than buy and hold, while drawdown improves by 38.5%p (CAGR 24.2%, MDD -36.1%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=2.6 |
35.5% | -49.2% | 1.00 | 0.72 | 19.5x | 46 | 56% |
| 볼린저 밴드 돌파 n=19, k=1.6 |
30.5% | -51.1% | 0.96 | 0.60 | 13.6x | 98 | 39% |
| SMA 크로스오버 fast=6, slow=18 |
29.9% | -59.2% | 0.88 | 0.50 | 12.9x | 142 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=22, mult=2.7 |
22.5% | -39.8% | 0.87 | 0.57 | 7.3x | 22 | 31% |
| ADX / DI 방향성 period=14, threshold=22 |
24.2% | -36.1% | 0.82 | 0.67 | 8.3x | 106 | 41% |
| Donchian 채널 돌파 entryN=38, exitN=14 |
23.0% | -52.6% | 0.81 | 0.44 | 7.6x | 40 | 38% |
| Parabolic SAR step=0.005, maxStep=0.24 |
22.4% | -69.9% | 0.74 | 0.32 | 7.2x | 80 | 51% |
| ROC 모멘텀 n=80, threshold=0.12 |
18.6% | -49.1% | 0.69 | 0.38 | 5.3x | 53 | 38% |
| EMA 크로스오버 fast=39, slow=79 |
18.4% | -61.6% | 0.65 | 0.30 | 5.2x | 25 | 54% |
| MACD fast=12, slow=56, signal=21 |
10.9% | -81.0% | 0.46 | 0.14 | 2.8x | 102 | 52% |
| Buy and hold | 3.6% | -87.7% | 0.37 | 0.04 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)