Trend-Following Backtester · Guide · backtest 한국어
equity · KR
LG backtest
10 trend-following strategies were compared on the full daily history of LG. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.1%, drawdown -60.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -60.4%, Sharpe 0.34, 71% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=19, exitN=55 |
6.0% | -60.4% | 0.34 | 0.10 | 3.5x | 69 | 71% |
| Supertrend period=20, mult=4.5 |
5.3% | -49.5% | 0.33 | 0.11 | 3.1x | 68 | 49% |
| EMA 크로스오버 fast=12, slow=27 |
3.5% | -60.1% | 0.26 | 0.06 | 2.1x | 177 | 51% |
| SMA 크로스오버 fast=45, slow=196 |
2.8% | -66.1% | 0.24 | 0.04 | 1.8x | 35 | 54% |
| ADX / DI 방향성 period=8, threshold=38 |
2.5% | -35.0% | 0.22 | 0.07 | 1.7x | 144 | 14% |
| 볼린저 밴드 돌파 n=24, k=2.3 |
2.2% | -60.8% | 0.21 | 0.04 | 1.6x | 129 | 23% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=10, mult=2.3 |
2.2% | -50.6% | 0.21 | 0.04 | 1.6x | 91 | 23% |
| MACD fast=16, slow=22, signal=14 |
1.7% | -78.5% | 0.20 | 0.02 | 1.4x | 317 | 51% |
| Parabolic SAR step=0.03, maxStep=0.06 |
0.1% | -74.8% | 0.14 | 0.00 | 1.0x | 347 | 51% |
| ROC 모멘텀 n=136, threshold=0.01 |
-2.0% | -87.4% | 0.06 | -0.02 | 0.6x | 201 | 52% |
| Buy and hold | 9.1% | -60.8% | 0.42 | 0.15 | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 55 days