Trend-Following Backtester · Guide · backtest 한국어
equity · US
LyondellBasell Industries NV backtest
10 trend-following strategies were compared on the full daily history of LyondellBasell Industries NV. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.5%, MDD -40.1%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.6%, drawdown -71.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.5%, MDD -40.1%, Sharpe 0.62, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 31.2%p (CAGR 12.5%, MDD -40.1%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=41, exitN=39 |
12.5% | -40.1% | 0.62 | 0.31 | 6.8x | 38 | 55% |
| SMA 크로스오버 fast=39, slow=65 |
12.0% | -46.4% | 0.60 | 0.26 | 6.3x | 56 | 57% |
| Supertrend period=29, mult=4.9 |
10.8% | -52.1% | 0.55 | 0.21 | 5.3x | 42 | 55% |
| EMA 크로스오버 fast=41, slow=68 |
9.6% | -45.4% | 0.52 | 0.21 | 4.4x | 40 | 55% |
| ADX / DI 방향성 period=39, threshold=24 |
3.0% | -10.8% | 0.52 | 0.28 | 1.6x | 10 | 6% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=12, mult=4 |
5.9% | -33.5% | 0.48 | 0.18 | 2.5x | 30 | 26% |
| 볼린저 밴드 돌파 n=60, k=1 |
6.7% | -55.5% | 0.42 | 0.12 | 2.9x | 86 | 48% |
| ROC 모멘텀 n=73, threshold=0.08 |
4.2% | -41.0% | 0.31 | 0.10 | 1.9x | 166 | 39% |
| MACD fast=23, slow=30, signal=18 |
3.9% | -59.1% | 0.28 | 0.07 | 1.9x | 179 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-4.5% | -81.6% | -0.06 | -0.05 | 0.5x | 306 | 54% |
| Buy and hold | 6.6% | -71.3% | 0.36 | 0.09 | 2.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 41 days
- Sell — Sell when price breaks below the lowest low of the last 39 days