Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lumentum Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of Lumentum Holdings Inc.. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 43.1%, drawdown -66.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 27.6%, MDD -49.8%, Sharpe 0.84, 43% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 29.8%, MDD -72.3%, exposure 64%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=1.4 |
27.6% | -49.8% | 0.84 | 0.55 | 15.0x | 53 | 43% |
| Supertrend period=13, mult=4.4 |
27.9% | -47.7% | 0.81 | 0.59 | 15.4x | 41 | 55% |
| EMA 크로스오버 fast=42, slow=123 |
29.8% | -72.3% | 0.79 | 0.41 | 18.1x | 23 | 64% |
| ADX / DI 방향성 period=29, threshold=23 |
18.9% | -45.2% | 0.76 | 0.42 | 6.8x | 20 | 16% |
| SMA 크로스오버 fast=26, slow=209 |
28.0% | -73.2% | 0.76 | 0.38 | 15.5x | 19 | 60% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=16, mult=2.4 |
22.7% | -61.5% | 0.75 | 0.37 | 9.7x | 52 | 38% |
| Donchian 채널 돌파 entryN=20, exitN=24 |
24.4% | -67.2% | 0.73 | 0.36 | 11.3x | 53 | 57% |
| ROC 모멘텀 n=173, threshold=0.1 |
24.7% | -72.0% | 0.71 | 0.34 | 11.6x | 83 | 54% |
| Parabolic SAR step=0.005, maxStep=0.16 |
21.5% | -67.1% | 0.68 | 0.32 | 8.7x | 99 | 54% |
| MACD fast=16, slow=52, signal=19 |
15.0% | -71.5% | 0.56 | 0.21 | 4.7x | 117 | 53% |
| Buy and hold | 43.1% | -66.9% | 0.92 | 0.64 | 53.5x | 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 (1.4× volatility)
- Sell — Sell when the close falls back to the 53-day middle average