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 43.2%, MDD -28.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 35.7%, drawdown -59.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 43.2%, MDD -28.4%, Sharpe 1.47, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 30.7%p (CAGR 43.2%, MDD -28.4%, exposure 49%).
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 |
43.2% | -28.4% | 1.47 | 1.52 | 31.4x | 3 | 49% |
| SMA 크로스오버 fast=75, slow=175 |
43.1% | -40.7% | 1.41 | 1.06 | 31.4x | 9 | 56% |
| ROC 모멘텀 n=99, threshold=0.1 |
32.6% | -27.6% | 1.27 | 1.18 | 15.0x | 71 | 44% |
| EMA 크로스오버 fast=11, slow=185 |
35.7% | -48.6% | 1.26 | 0.73 | 18.8x | 15 | 55% |
| 볼린저 밴드 돌파 n=21, k=2.8 |
20.8% | -27.3% | 1.22 | 0.76 | 6.1x | 29 | 18% |
| ADX / DI 방향성 period=33, threshold=16 |
21.6% | -22.7% | 1.19 | 0.95 | 6.5x | 29 | 22% |
| Supertrend period=6, mult=4.8 |
28.4% | -34.7% | 1.11 | 0.82 | 11.0x | 25 | 55% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=16, mult=2.3 |
18.1% | -31.5% | 1.06 | 0.58 | 5.0x | 37 | 21% |
| MACD fast=13, slow=97, signal=14 |
19.9% | -53.4% | 0.88 | 0.37 | 5.7x | 105 | 51% |
| Parabolic SAR step=0.025, maxStep=0.26 |
19.6% | -42.4% | 0.85 | 0.46 | 5.6x | 217 | 52% |
| Buy and hold | 35.7% | -59.1% | 1.07 | 0.60 | 18.8x | 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