Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Lotes Co., Ltd backtest
10 trend-following strategies were compared on the full daily history of Lotes Co., Ltd. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 26.1%, MDD -40.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 23.1%, drawdown -71.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 26.1%, MDD -40.7%, Sharpe 0.84, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 30.9%p (CAGR 26.1%, MDD -40.7%, exposure 64%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=10, slow=179 |
26.1% | -40.7% | 0.84 | 0.64 | 75.9x | 33 | 64% |
| EMA 크로스오버 fast=15, slow=156 |
24.0% | -43.0% | 0.80 | 0.56 | 55.3x | 36 | 64% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
19.6% | -41.8% | 0.79 | 0.47 | 27.9x | 74 | 39% |
| Donchian 채널 돌파 entryN=39, exitN=78 |
24.1% | -65.2% | 0.78 | 0.37 | 55.8x | 32 | 72% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=26, mult=3.5 |
15.5% | -48.5% | 0.72 | 0.32 | 14.7x | 46 | 28% |
| MACD fast=30, slow=56, signal=8 |
16.6% | -50.9% | 0.66 | 0.33 | 17.6x | 208 | 51% |
| Supertrend period=29, mult=2.5 |
16.7% | -43.2% | 0.66 | 0.39 | 17.7x | 158 | 51% |
| ADX / DI 방향성 period=29, threshold=20 |
13.5% | -44.3% | 0.66 | 0.30 | 10.6x | 58 | 26% |
| ROC 모멘텀 n=49, threshold=0.01 |
15.6% | -51.4% | 0.62 | 0.30 | 15.0x | 234 | 54% |
| Parabolic SAR step=0.015, maxStep=0.38 |
9.4% | -60.2% | 0.45 | 0.16 | 5.3x | 308 | 51% |
| Buy and hold | 23.1% | -71.6% | 0.70 | 0.32 | 48.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 10-day average price crosses above the 179-day average
- Sell — Sell (to cash) when the 10-day average falls below the 179-day average