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; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 8.3%, drawdown -60.8%).
Sharpe leader (same as main): Supertrend — CAGR 5.3%, MDD -49.5%, Sharpe 0.33, 49% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=4.5 |
5.3% | -49.5% | 0.33 | 0.11 | 3.1x | 68 | 49% |
| Donchian 채널 돌파 entryN=19, exitN=55 |
5.2% | -60.4% | 0.32 | 0.09 | 3.0x | 69 | 71% |
| EMA 크로스오버 fast=12, slow=27 |
3.0% | -60.1% | 0.25 | 0.05 | 1.9x | 176 | 51% |
| ADX / DI 방향성 period=8, threshold=38 |
2.5% | -35.0% | 0.22 | 0.07 | 1.7x | 144 | 14% |
| SMA 크로스오버 fast=45, slow=196 |
2.1% | -66.1% | 0.21 | 0.03 | 1.6x | 35 | 54% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=10, mult=2.3 |
2.2% | -50.6% | 0.21 | 0.04 | 1.6x | 90 | 23% |
| 볼린저 밴드 돌파 n=24, k=2.3 |
2.0% | -60.8% | 0.20 | 0.03 | 1.5x | 128 | 23% |
| MACD fast=16, slow=22, signal=14 |
0.9% | -78.5% | 0.17 | 0.01 | 1.2x | 316 | 51% |
| Parabolic SAR step=0.03, maxStep=0.06 |
-0.6% | -74.8% | 0.11 | -0.01 | 0.9x | 346 | 50% |
| ROC 모멘텀 n=136, threshold=0.01 |
-2.8% | -87.4% | 0.03 | -0.03 | 0.5x | 201 | 51% |
| Buy and hold | 8.3% | -60.8% | 0.40 | 0.14 | 5.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)