Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Laurus Labs Ltd. backtest
10 trend-following strategies were compared on the full daily history of Laurus Labs Ltd.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 43.5%, MDD -28.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 36.1%, drawdown -59.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 43.5%, MDD -28.4%, Sharpe 1.48, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 43.5%, MDD -28.4%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=116, exitN=62 |
43.5% | -28.4% | 1.48 | 1.53 | 33.2x | 3 | 50% |
| SMA 크로스오버 fast=75, slow=175 |
43.5% | -40.7% | 1.42 | 1.07 | 33.2x | 9 | 56% |
| ROC 모멘텀 n=99, threshold=0.1 |
33.0% | -27.6% | 1.28 | 1.19 | 15.9x | 71 | 44% |
| EMA 크로스오버 fast=11, slow=185 |
36.1% | -48.6% | 1.27 | 0.74 | 19.8x | 15 | 55% |
| ADX / DI 방향성 period=33, threshold=16 |
22.0% | -22.7% | 1.21 | 0.97 | 6.9x | 29 | 23% |
| 볼린저 밴드 돌파 n=21, k=2.8 |
20.4% | -27.3% | 1.20 | 0.75 | 6.1x | 30 | 18% |
| Supertrend period=6, mult=4.8 |
28.8% | -34.7% | 1.12 | 0.83 | 11.6x | 25 | 55% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=16, mult=2.3 |
18.6% | -31.5% | 1.08 | 0.59 | 5.2x | 37 | 21% |
| MACD fast=13, slow=97, signal=14 |
19.5% | -53.4% | 0.87 | 0.36 | 5.6x | 107 | 51% |
| Parabolic SAR step=0.025, maxStep=0.26 |
19.8% | -42.4% | 0.86 | 0.47 | 5.8x | 219 | 52% |
| Buy and hold | 36.1% | -59.1% | 1.08 | 0.61 | 19.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 116 days
- Sell — Sell when price breaks below the lowest low of the last 62 days