Trend-Following Backtester · Guide · backtest 한국어
equity · US
Lumen Technologies, Inc. backtest
10 trend-following strategies were compared on the full daily history of Lumen Technologies, Inc.. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.2%, MDD -70.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.3%, drawdown -98.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -35.9%, Sharpe 0.32, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.4%, MDD -77.9%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 62.1%p (CAGR 4.2%, MDD -70.0%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=22, threshold=35 |
3.2% | -35.9% | 0.32 | 0.09 | 4.3x | 44 | 7% |
| Donchian 채널 돌파 entryN=65, exitN=61 |
5.4% | -77.9% | 0.31 | 0.07 | 11.2x | 85 | 53% |
| SMA 크로스오버 fast=10, slow=159 |
4.4% | -80.2% | 0.28 | 0.06 | 7.5x | 134 | 52% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=14, mult=3.3 |
4.2% | -70.0% | 0.28 | 0.06 | 6.8x | 146 | 25% |
| Supertrend period=18, mult=4.4 |
4.2% | -91.3% | 0.27 | 0.05 | 6.8x | 186 | 50% |
| EMA 크로스오버 fast=27, slow=52 |
3.6% | -86.9% | 0.26 | 0.04 | 5.2x | 176 | 53% |
| ROC 모멘텀 n=148, threshold=0.08 |
2.9% | -86.1% | 0.23 | 0.03 | 3.8x | 350 | 41% |
| 볼린저 밴드 돌파 n=32, k=3.4 |
2.8% | -42.0% | 0.22 | 0.07 | 3.6x | 52 | 8% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-0.8% | -97.9% | 0.11 | -0.01 | 0.7x | 568 | 51% |
| MACD fast=16, slow=35, signal=17 |
-3.2% | -98.2% | 0.04 | -0.03 | 0.2x | 591 | 52% |
| Buy and hold | 4.3% | -98.0% | 0.30 | 0.04 | 7.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 22-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)