Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Lasertec Corp. backtest
10 trend-following strategies were compared on the full daily history of Lasertec Corp.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 34.6%, MDD -49.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 38.7%, drawdown -76.9%).
Sharpe leader (same as main): Supertrend — CAGR 31.9%, MDD -58.5%, Sharpe 0.96, 56% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 35.5%, MDD -59.1%, exposure 71%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.9%p lower than buy and hold, while drawdown improves by 18.4%p (CAGR 34.6%, MDD -49.8%, exposure 65%).
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=24, mult=2.5 |
31.9% | -58.5% | 0.96 | 0.54 | 94.2x | 156 | 56% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=16, mult=2.4 |
26.2% | -34.2% | 0.96 | 0.76 | 45.6x | 80 | 36% |
| SMA 크로스오버 fast=13, slow=111 |
34.6% | -49.8% | 0.95 | 0.69 | 132.4x | 45 | 65% |
| Donchian 채널 돌파 entryN=84, exitN=87 |
35.5% | -59.1% | 0.95 | 0.60 | 146.5x | 19 | 71% |
| Parabolic SAR step=0.01, maxStep=0.12 |
30.2% | -64.9% | 0.94 | 0.47 | 77.0x | 198 | 55% |
| EMA 크로스오버 fast=52, slow=66 |
33.5% | -56.7% | 0.92 | 0.59 | 114.9x | 33 | 66% |
| ROC 모멘텀 n=140, threshold=-0.04 |
33.6% | -56.0% | 0.91 | 0.60 | 117.1x | 75 | 72% |
| 볼린저 밴드 돌파 n=51, k=1.9 |
25.4% | -55.8% | 0.91 | 0.45 | 41.1x | 68 | 42% |
| ADX / DI 방향성 period=36, threshold=9 |
29.8% | -46.7% | 0.90 | 0.64 | 72.5x | 158 | 59% |
| MACD fast=15, slow=45, signal=13 |
19.9% | -76.4% | 0.70 | 0.26 | 19.8x | 214 | 52% |
| Buy and hold | 38.7% | -76.9% | 0.91 | 0.50 | 216.9x | 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) — 24-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)