Trend-Following Backtester · Guide · backtest 한국어
equity · SE
Lifco AB Class B backtest
10 trend-following strategies were compared on the full daily history of Lifco AB Class B. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.2%, drawdown -49.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 22.3%, MDD -41.5%, Sharpe 0.95, 72% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 23.6%, MDD -39.4%, exposure 97%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=19, exitN=29 |
22.3% | -41.5% | 0.95 | 0.54 | 10.7x | 35 | 72% |
| ROC 모멘텀 Hold-like · Exposure 97% n=5, threshold=-0.08 |
23.6% | -39.4% | 0.87 | 0.60 | 12.2x | 59 | 97% |
| SMA 크로스오버 fast=18, slow=44 |
14.6% | -35.7% | 0.74 | 0.41 | 5.0x | 68 | 59% |
| EMA 크로스오버 fast=41, slow=107 |
15.6% | -38.6% | 0.71 | 0.41 | 5.5x | 15 | 73% |
| Supertrend period=19, mult=2.9 |
12.0% | -47.0% | 0.63 | 0.26 | 3.8x | 82 | 59% |
| Parabolic SAR step=0.02, maxStep=0.32 |
11.0% | -30.2% | 0.58 | 0.36 | 3.4x | 244 | 55% |
| ADX / DI 방향성 period=27, threshold=12 |
8.8% | -41.3% | 0.51 | 0.21 | 2.7x | 138 | 53% |
| 볼린저 밴드 돌파 n=27, k=1.5 |
7.2% | -29.7% | 0.46 | 0.24 | 2.3x | 118 | 44% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=28, mult=1.1 |
6.5% | -37.2% | 0.42 | 0.18 | 2.1x | 124 | 47% |
| MACD fast=13, slow=31, signal=15 |
6.5% | -44.4% | 0.40 | 0.15 | 2.1x | 164 | 48% |
| Buy and hold | 24.2% | -49.3% | 0.86 | 0.49 | 12.8x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 29 days