Trend-Following Backtester · Guide · backtest 한국어
equity · IN
LTM Limited backtest
10 trend-following strategies were compared on the full daily history of LTM Limited. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 23.1%, MDD -27.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 20.3%, drawdown -53.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.1%, MDD -27.2%, Sharpe 0.99, 59% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.3%, MDD -34.4%, exposure 77%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 26.0%p (CAGR 23.1%, MDD -27.2%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=0.4 |
23.1% | -27.2% | 0.99 | 0.85 | 8.2x | 69 | 59% |
| EMA 크로스오버 fast=8, slow=46 |
23.2% | -36.9% | 0.97 | 0.63 | 8.2x | 55 | 63% |
| SMA 크로스오버 fast=16, slow=24 |
21.3% | -34.4% | 0.94 | 0.62 | 7.1x | 103 | 58% |
| ADX / DI 방향성 period=36, threshold=25 |
15.7% | -17.5% | 0.93 | 0.90 | 4.4x | 6 | 17% |
| Donchian 채널 돌파 entryN=6, exitN=22 |
23.3% | -34.4% | 0.91 | 0.68 | 8.3x | 57 | 77% |
| Supertrend period=22, mult=4.3 |
19.2% | -33.8% | 0.84 | 0.57 | 5.9x | 33 | 65% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=1 |
18.1% | -36.2% | 0.82 | 0.50 | 5.4x | 73 | 56% |
| ROC 모멘텀 n=115, threshold=0.01 |
15.6% | -41.8% | 0.70 | 0.37 | 4.3x | 59 | 62% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.0% | -43.3% | 0.49 | 0.21 | 2.4x | 83 | 58% |
| MACD fast=13, slow=20, signal=23 |
8.6% | -36.1% | 0.48 | 0.24 | 2.3x | 132 | 52% |
| Buy and hold | 20.3% | -53.2% | 0.74 | 0.38 | 6.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (0.4× volatility)
- Sell — Sell when the close falls back to the 53-day middle average