Trend-Following Backtester · Guide · backtest 한국어
equity · TW
LandMark Optoelectronics Corp. backtest
10 trend-following strategies were compared on the full daily history of LandMark Optoelectronics Corp.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 21.9%, MDD -26.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 23.8%, drawdown -80.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 21.9%, MDD -26.4%, Sharpe 0.95, 12% exposure.
CAGR reference leader: MACD — CAGR 29.7%, MDD -76.8%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 53.9%p (CAGR 21.9%, MDD -26.4%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=10, mult=3.7 |
21.9% | -26.4% | 0.95 | 0.83 | 10.8x | 18 | 12% |
| MACD fast=10, slow=57, signal=16 |
29.7% | -76.8% | 0.89 | 0.39 | 22.9x | 142 | 50% |
| ADX / DI 방향성 period=19, threshold=32 |
18.2% | -24.8% | 0.86 | 0.73 | 7.5x | 22 | 11% |
| Parabolic SAR step=0.02, maxStep=0.06 |
27.1% | -63.9% | 0.82 | 0.42 | 17.9x | 151 | 53% |
| 볼린저 밴드 돌파 n=16, k=1 |
22.3% | -77.7% | 0.75 | 0.29 | 11.3x | 210 | 44% |
| Donchian 채널 돌파 entryN=116, exitN=47 |
20.0% | -62.0% | 0.71 | 0.32 | 8.9x | 16 | 32% |
| ROC 모멘텀 n=146, threshold=-0.03 |
22.1% | -65.3% | 0.70 | 0.34 | 11.0x | 101 | 55% |
| EMA 크로스오버 fast=67, slow=171 |
21.2% | -73.1% | 0.68 | 0.29 | 10.2x | 15 | 48% |
| SMA 크로스오버 fast=42, slow=202 |
20.0% | -69.0% | 0.66 | 0.29 | 9.0x | 21 | 44% |
| Supertrend period=9, mult=2.2 |
17.6% | -77.6% | 0.62 | 0.23 | 7.0x | 134 | 52% |
| Buy and hold | 23.8% | -80.3% | 0.68 | 0.30 | 13.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 25-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 25-day average