Trend-Following Backtester · Guide · backtest 한국어
equity · US
LightPath Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of LightPath Technologies, Inc.. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.7%, MDD -79.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.3%, drawdown -99.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.4%, MDD -80.4%, Sharpe 0.45, 36% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 19.6%p (CAGR 6.7%, MDD -79.6%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=170, threshold=0.13 |
11.4% | -80.4% | 0.45 | 0.14 | 26.8x | 169 | 36% |
| Donchian 채널 돌파 entryN=34, exitN=37 |
7.5% | -92.9% | 0.43 | 0.08 | 9.2x | 90 | 47% |
| SMA 크로스오버 fast=6, slow=199 |
7.7% | -87.2% | 0.42 | 0.09 | 9.7x | 85 | 41% |
| 볼린저 밴드 돌파 n=49, k=2.5 |
8.4% | -83.8% | 0.40 | 0.10 | 11.8x | 92 | 24% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=16, mult=2 |
6.7% | -79.6% | 0.37 | 0.08 | 7.3x | 136 | 25% |
| EMA 크로스오버 fast=24, slow=68 |
4.7% | -93.2% | 0.37 | 0.05 | 4.0x | 93 | 39% |
| ADX / DI 방향성 period=19, threshold=14 |
3.3% | -92.1% | 0.36 | 0.04 | 2.7x | 362 | 42% |
| Supertrend period=11, mult=3 |
0.6% | -94.0% | 0.34 | 0.01 | 1.2x | 189 | 44% |
| MACD fast=20, slow=56, signal=17 |
-6.6% | -99.7% | 0.27 | -0.07 | 0.1x | 305 | 51% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-7.3% | -99.9% | 0.21 | -0.07 | 0.1x | 476 | 43% |
| Buy and hold | -4.3% | -99.9% | 0.43 | -0.04 | 0.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 170-day return is greater than 13%
- Sell — Sell when the 170-day return drops to 13% or below