Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lazard, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lazard, Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.7%, MDD -33.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.7%, drawdown -64.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.7%, MDD -33.1%, Sharpe 0.29, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.4%, MDD -46.1%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.0%p higher than buy and hold, while drawdown improves by 31.6%p (CAGR 2.7%, MDD -33.1%, exposure 12%).
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=58, k=2.9 |
2.7% | -33.1% | 0.29 | 0.08 | 1.8x | 20 | 12% |
| Donchian 채널 돌파 entryN=56, exitN=60 |
3.4% | -46.1% | 0.26 | 0.07 | 2.0x | 40 | 53% |
| Supertrend period=25, mult=4.9 |
2.1% | -55.8% | 0.21 | 0.04 | 1.6x | 58 | 57% |
| SMA 크로스오버 fast=15, slow=103 |
1.9% | -54.9% | 0.20 | 0.04 | 1.5x | 70 | 54% |
| EMA 크로스오버 fast=29, slow=57 |
1.6% | -58.2% | 0.19 | 0.03 | 1.4x | 70 | 55% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=22, mult=3.5 |
1.2% | -43.1% | 0.16 | 0.03 | 1.3x | 44 | 18% |
| ROC 모멘텀 n=129, threshold=0.03 |
0.3% | -62.6% | 0.13 | 0.01 | 1.1x | 150 | 48% |
| ADX / DI 방향성 period=39, threshold=33 |
0.1% | -12.4% | 0.04 | 0.01 | 1.0x | 2 | 1% |
| MACD fast=19, slow=54, signal=18 |
-10.2% | -94.0% | -0.28 | -0.11 | 0.1x | 247 | 51% |
| Parabolic SAR step=0.035, maxStep=0.18 |
-11.3% | -94.4% | -0.32 | -0.12 | 0.1x | 634 | 52% |
| Buy and hold | 2.7% | -64.8% | 0.27 | 0.04 | 1.8x | 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 58-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 58-day middle average