Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Leo Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Leo Group Co. Ltd. Class A. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.0%, MDD -41.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 10.3%, drawdown -85.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 21.3%, MDD -60.5%, Sharpe 0.74, 39% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.0%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 12.0%, MDD -41.4%, exposure 7%).
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=94, exitN=52 |
21.3% | -60.5% | 0.74 | 0.35 | 41.9x | 20 | 39% |
| SMA 크로스오버 fast=13, slow=314 |
18.7% | -66.0% | 0.65 | 0.28 | 27.6x | 20 | 50% |
| EMA 크로스오버 fast=36, slow=216 |
18.6% | -64.1% | 0.65 | 0.29 | 27.2x | 16 | 49% |
| 볼린저 밴드 돌파 n=20, k=3.2 |
12.0% | -41.4% | 0.65 | 0.29 | 9.0x | 36 | 7% |
| ROC 모멘텀 n=197, threshold=0 |
18.4% | -67.1% | 0.64 | 0.27 | 26.4x | 56 | 50% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=27, mult=3.1 |
14.9% | -51.7% | 0.62 | 0.29 | 14.6x | 48 | 24% |
| MACD fast=9, slow=70, signal=18 |
16.3% | -64.2% | 0.61 | 0.25 | 18.6x | 210 | 48% |
| ADX / DI 방향성 period=12, threshold=48 |
8.1% | -35.0% | 0.54 | 0.23 | 4.5x | 34 | 5% |
| Supertrend period=24, mult=2.8 |
13.2% | -68.9% | 0.54 | 0.19 | 10.9x | 144 | 41% |
| Parabolic SAR step=0.025, maxStep=0.28 |
6.6% | -80.6% | 0.36 | 0.08 | 3.5x | 412 | 48% |
| Buy and hold | 10.3% | -85.9% | 0.45 | 0.12 | 6.7x | 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 94 days
- Sell — Sell when price breaks below the lowest low of the last 52 days