Trend-Following Backtester · Guide · backtest 한국어
equity · PL
Lubawa SA backtest
10 trend-following strategies were compared on the full daily history of Lubawa SA. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 24.1%, MDD -56.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 16.5%, drawdown -91.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 24.1%, MDD -73.5%, Sharpe 0.68, 55% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 24.1%, MDD -56.9%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=42, slow=97 |
24.1% | -73.5% | 0.68 | 0.33 | 256.7x | 47 | 55% |
| ROC 모멘텀 n=172, threshold=-0.03 |
24.1% | -56.9% | 0.67 | 0.42 | 255.8x | 111 | 58% |
| Donchian 채널 돌파 entryN=111, exitN=67 |
22.8% | -62.2% | 0.66 | 0.37 | 196.6x | 27 | 52% |
| SMA 크로스오버 fast=21, slow=147 |
21.3% | -68.0% | 0.63 | 0.31 | 141.8x | 59 | 56% |
| Supertrend period=10, mult=4.9 |
21.1% | -65.7% | 0.62 | 0.32 | 135.7x | 65 | 62% |
| ADX / DI 방향성 period=29, threshold=12 |
17.6% | -65.7% | 0.56 | 0.27 | 65.0x | 209 | 44% |
| MACD fast=13, slow=31, signal=14 |
13.5% | -72.9% | 0.49 | 0.18 | 25.8x | 358 | 49% |
| 볼린저 밴드 돌파 n=59, k=2.1 |
11.7% | -79.3% | 0.46 | 0.15 | 17.1x | 100 | 33% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=25, mult=1.7 |
10.6% | -85.3% | 0.43 | 0.12 | 13.4x | 142 | 33% |
| Parabolic SAR step=0.015, maxStep=0.14 |
1.2% | -85.6% | 0.25 | 0.01 | 1.4x | 348 | 46% |
| Buy and hold | 16.5% | -91.0% | 0.54 | 0.18 | 51.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 42-day EMA crosses above the 97-day EMA
- Sell — Sell when the 42-day EMA falls below the 97-day EMA