Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LX인터내셔널 backtest
10 trend-following strategies were compared on the full daily history of LX인터내셔널. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.7%, MDD -65.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 9.3%, drawdown -89.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.2%, MDD -81.8%, Sharpe 0.42, 77% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 7.6%p (CAGR 8.7%, MDD -65.7%, exposure 57%).
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=13, exitN=55 |
9.2% | -81.8% | 0.42 | 0.11 | 10.4x | 97 | 77% |
| SMA 크로스오버 fast=15, slow=110 |
8.7% | -72.0% | 0.41 | 0.12 | 9.1x | 76 | 55% |
| EMA 크로스오버 fast=23, slow=269 |
8.7% | -65.7% | 0.41 | 0.13 | 9.1x | 44 | 57% |
| Supertrend period=33, mult=3.6 |
7.4% | -60.2% | 0.37 | 0.12 | 6.6x | 136 | 52% |
| ADX / DI 방향성 period=30, threshold=20 |
5.3% | -55.5% | 0.35 | 0.10 | 4.0x | 84 | 21% |
| MACD fast=19, slow=51, signal=18 |
4.5% | -80.2% | 0.29 | 0.06 | 3.2x | 275 | 49% |
| ROC 모멘텀 n=119, threshold=-0.03 |
3.2% | -86.4% | 0.26 | 0.04 | 2.3x | 236 | 60% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=22, mult=2.8 |
2.4% | -40.0% | 0.23 | 0.06 | 1.9x | 70 | 12% |
| 볼린저 밴드 돌파 n=54, k=1.6 |
1.0% | -80.4% | 0.17 | 0.01 | 1.3x | 134 | 36% |
| Parabolic SAR step=0.015, maxStep=0.26 |
-2.1% | -81.1% | 0.08 | -0.03 | 0.6x | 450 | 51% |
| Buy and hold | 9.3% | -89.4% | 0.42 | 0.10 | 10.6x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 55 days